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Robust portfolio selection problems: a comprehensive review

Author

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  • Alireza Ghahtarani

    (Dalhousie University)

  • Ahmed Saif

    (Dalhousie University)

  • Alireza Ghasemi

    (Dalhousie University)

Abstract

This paper reviews recent advances in robust portfolio selection problems and their extensions, from both operational research and financial perspectives. A multi-dimensional classification of the models and methods proposed in the literature is presented, based on the types of financial problems, uncertainty sets, robust optimization approaches, and mathematical formulations. Several open questions and potential future research directions are identified.

Suggested Citation

  • Alireza Ghahtarani & Ahmed Saif & Alireza Ghasemi, 2022. "Robust portfolio selection problems: a comprehensive review," Operational Research, Springer, vol. 22(4), pages 3203-3264, September.
    • Handle: RePEc:spr:operea:v:22:y:2022:i:4:d:10.1007_s12351-022-00690-5
    DOI: 10.1007/s12351-022-00690-5
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    7. Gabrel, Virginie & Murat, Cécile & Thiele, Aurélie, 2014. "Recent advances in robust optimization: An overview," European Journal of Operational Research, Elsevier, vol. 235(3), pages 471-483.
    8. Sandra Caçador & Joana Matos Dias & Pedro Godinho, 2020. "Global minimum variance portfolios under uncertainty: a robust optimization approach," Journal of Global Optimization, Springer, vol. 76(2), pages 267-293, February.
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