| Article ID: | iaor20103207 |
| Volume: | 176 |
| Issue: | 1 |
| Start Page Number: | 191 |
| End Page Number: | 220 |
| Publication Date: | Apr 2010 |
| Journal: | Annals of Operations Research |
| Authors: | Huang Dashan, Fabozzi Frank J, Zhou Guofu |
| Keywords: | portfolio analysis, value at risk |
In this paper we provide a survey of recent contributions to robust portfolio strategies from operations research and finance to the theory of portfolio selection. Our survey covers results derived not only in terms of the standard mean-variance objective, but also in terms of two of the most popular risk measures, mean-VaR and mean-CVaR developed recently. In addition, we review optimal estimation methods and Bayesian robust approaches.