PT  - JOURNAL ARTICLE
AU  - Frank J. Fabozzi
AU  - Petter N. Kolm
AU  - Dessislava A. Pachamanova
AU  - Sergio M. Focardi
TI  - Robust Portfolio Optimization
AID  - 10.3905/jpm.2007.684751
DP  - 2007 Apr 30
TA  - The Journal of Portfolio Management
PG  - 40--48
VI  - 33
IP  - 3
4099  - https://pm-research.com/content/33/3/40.short
4100  - https://pm-research.com/content/33/3/40.full
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