Robust portfolio optimization refers to finding an asset allocation strategy whose behavior
under the worst possible realizations of the uncertain inputs, eg, returns and covariances, is …

The optimization of the product portfolio problem under return uncertainty is addressed here.
The contribution of this study is based on the application of a hybrid improved artificial …

This paper reviews recent advances in robust portfolio selection problems and their
extensions, from both operational research and financial perspectives. A multi-dimensional …

Consider a multiobjective decision problem with uncertainty in the objective functions, given
as a set of scenarios. In the single-criterion case, robust optimization methodology helps to …

Portfolio optimization involves finding the ideal combination of securities and shares to
reduce risk and increase profit in an investment. To assess the impact of risk in portfolio …

This study explores the concept of reference dependence in decision-making behavior,
particularly in the realm of investment portfolios. Previous research has established that an …

Objective: The purpose of this study was to apply the relative robust approach that minimizes
the maximum regret to deal with the present uncertainty in the input data of the Markowitz …

In the knowledge that the ex-post performance of Markowitz efficient portfolios is inferior to
that implied ex-ante, we make two contributions to the portfolio selection literature. Firstly, we …

In portfolio optimization, decision makers face difficulties from uncertainties inherent in real-
world scenarios. These uncertainties significantly influence portfolio outcomes in both …

The portfolio theory literature has long strived for perfection when it comes to estimating
expected returns. In this paper we develop a theoretical framework which shows that perfect …