RT Journal Article SR Electronic T1 Robust Portfolio Optimization JF The Journal of Portfolio Management FD Institutional Investor Journals SP 40 OP 48 DO 10.3905/jpm.2007.684751 VO 33 IS 3 A1 Frank J. Fabozzi A1 Petter N. Kolm A1 Dessislava A. Pachamanova A1 Sergio M. Focardi YR 2007 UL https://pm-research.com/content/33/3/40.abstract AB As quantitative techniques have become commonplace in the investment industry, the mitigation of estimation and model risk in portfolio management has grown in importance. Robust optimization, which incorporates estimation error directly into the portfolio optimization process, is typically used with conventional robust statistical estimation methods. This perspective on the robust optimization approach reviews useful practical extensions and discusses potential applications for robust portfolio optimization.TOPICS: Portfolio management/multi-asset allocation, portfolio construction, simulations