This paper provides an overview of developments in robust optimization since 2007. It seeks
to give a representative picture of the research topics most explored in recent years …

Markowitz's portfolio selection model has been the biggest step-forward in financial decision
making and has been the central point of research since its inception. The mean–variance …

We survey the nascent literature on machine learning in the study of financial markets. We
highlight the best examples of what this line of research has to offer and recommend …

The concepts of portfolio optimization and diversification have been instrumental in the
development and understanding of financial markets and financial decision making. In light …

We build cross-sections of asset returns for a given set of characteristics, that is, managed
portfolios serving as test assets, as well as building blocks for tradable risk factors. We use …

In this paper we focus on robust linear optimization problems with uncertainty regions
defined by φ-divergences (for example, chi-squared, Hellinger, Kullback–Leibler). We show …

The modern portfolio theory pioneered by Markowitz (1952) is widely used in practice and
extensively taught to MBAs. However, the estimated Markowitz portfolio rule and most of its …

We propose a method for optimal portfolio selection using a Bayesian decision theoretic
framework that addresses two major shortcomings of the traditional Markowitz approach: the …

Since the pioneering work of Harry Markowitz, mean–variance portfolio selection model has
been widely used in both theoretical and empirical studies, which maximizes the investment …

We consider a basic model of multi-period trading, which can be used to evaluate the
performance of a trading strategy. We describe a framework for single-period optimization …