Institutional Repository
Technical University of Crete
EN  |  EL



My Space

Robust optimization approaches for portfolio selection: a comparative analysis

Georgantas Antonios, Doumpos Michail, Zopounidis Konstantinos

Simple record

Extent17 pagesen
TitleRobust optimization approaches for portfolio selection: a comparative analysisen
CreatorGeorgantas Antoniosen
CreatorΓεωργαντας Αντωνιοςel
CreatorDoumpos Michailen
CreatorΔουμπος Μιχαηλel
CreatorZopounidis Konstantinosen
CreatorΖοπουνιδης Κωνσταντινοςel
Content SummaryRobust 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
Type of ItemPeer-Reviewed Journal Publicationen
Type of ItemΔημοσίευση σε Περιοδικό με Κριτέςel
Date of Item2023-05-03-
Date of Publication2021-
SubjectPortfolio selectionen
SubjectRobust optimizationen
SubjectFinancial risk managementen
SubjectComparative analysisen
Bibliographic CitationA. 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

Available Files