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Robust portfolio optimization: a categorized bibliographic review

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Abstract

Robust portfolio optimization refers to finding an asset allocation strategy whose behavior under the worst possible realizations of the uncertain inputs, e.g., returns and covariances, is optimized. The robust approach is in contrast to the classical approach, where one estimates the inputs to a portfolio allocation problem and then treats them as certain and accurate. In this paper we provide a categorized bibliography on the application of robust mathematical programming to the portfolio selection problem. With no similar surveys available, one of the aims of this review is to provide quick access for those interested, but maybe not yet in the area, so they know what the area is about, what has been accomplished and where everything can be found. Toward this end, a total of 148 references have been compiled and classified in various ways. Additionally, the number of Scopus© citations by contribution and journal is recorded. Finally, a brief discussion of the review’s major findings is provided and some solid leads on future directions are given.

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Notes

  1. Despite the small number of points in \( S \) in this example, feasible regions in portfolio selection can be discrete as a result of lot size and other constraints.

  2. As far as the distribution of the contributions by publisher, we report that most appear in publications of Elsevier (52), Springer (43), INFORMS (17), Taylor & Francis (10) and Wiley (6), with the remaining articles spread across 9 other publishers.

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Authors and Affiliations

  1. ESSCA Business School, 55 quai Alphonse Le Gallo, 92513, Paris, France

    Panos Xidonas

  2. University of Georgia, Athens, GA, 30602-6353, USA

    Ralph Steuer

  3. University of Cyprus, 1 Panepistimiou Str., 2109, Nicosia, Cyprus

    Christis Hassapis

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  1. Panos Xidonas
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  2. Ralph Steuer
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  3. Christis Hassapis
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Correspondence to Panos Xidonas.

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Xidonas, P., Steuer, R. & Hassapis, C. Robust portfolio optimization: a categorized bibliographic review. Ann Oper Res 292, 533–552 (2020). https://doi.org/10.1007/s10479-020-03630-8

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