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Robust optimization approaches for portfolio selection: a comparative analysis

Georgantas Antonios, Doumpos Michail, Zopounidis Konstantinos

Απλή Εγγραφή


URIhttp://purl.tuc.gr/dl/dias/78685D1E-9902-4031-AAE1-5E22F7286F3C-
Αναγνωριστικόhttps://doi.org/10.1007/s10479-021-04177-y-
Αναγνωριστικόhttps://link.springer.com/article/10.1007/s10479-021-04177-y-
Γλώσσαen-
Μέγεθος17 pagesen
ΤίτλοςRobust optimization approaches for portfolio selection: a comparative analysisen
ΔημιουργόςGeorgantas Antoniosen
ΔημιουργόςΓεωργαντας Αντωνιοςel
ΔημιουργόςDoumpos Michailen
ΔημιουργόςΔουμπος Μιχαηλel
ΔημιουργόςZopounidis Konstantinosen
ΔημιουργόςΖοπουνιδης Κωνσταντινοςel
ΕκδότηςSpringeren
ΠερίληψηRobust optimization (RO) models have attracted a lot of interest in the area of portfolio selection. RO extends the framework of traditional portfolio optimization models, incorporating uncertainty through a formal and analytical approach into the modeling process. Although several RO models have been proposed in the literature, comprehensive empirical assessments of their performance are rather lacking. The objective of this study is to fill in this gap in the literature. To this end, we consider different types of RO models based on popular risk measures and conduct an extensive comparative analysis of their performance using data from the US market during the period 2005–2020. For the analysis, two different robust versions of the mean–variance model are considered, together with robust models for conditional value-at-risk and the Omega ratio. The robust versions are compared against the nominal ones through various portfolio performance metrics, focusing on out-of-sample results.en
ΤύποςPeer-Reviewed Journal Publicationen
ΤύποςΔημοσίευση σε Περιοδικό με Κριτέςel
Άδεια Χρήσηςhttp://creativecommons.org/licenses/by/4.0/en
Ημερομηνία2023-05-03-
Ημερομηνία Δημοσίευσης2021-
Θεματική ΚατηγορίαPortfolio selectionen
Θεματική ΚατηγορίαRobust optimizationen
Θεματική ΚατηγορίαFinancial risk managementen
Θεματική ΚατηγορίαComparative analysisen
Βιβλιογραφική ΑναφοράA. Georgantas, M. Doumpos and C. Zopounidis, “Robust optimization approaches for portfolio selection: a comparative analysis,” Ann. Oper. Res., June 2021, doi: 10.1007/s10479-021-04177-y.en

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