On robust mean-variance portfolios

Date
2016
Authors
Pınar, M. Ç.
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Source Title
Optimization
Print ISSN
0233-1934
Electronic ISSN
1029-4945
Publisher
Taylor and Francis
Volume
65
Issue
5
Pages
1039 - 1048
Language
English
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Abstract

We derive closed-form portfolio rules for robust mean–variance portfolio optimization where the return vector is uncertain or the mean return vector is subject to estimation errors, both uncertainties being confined to an ellipsoidal uncertainty set. We consider different mean–variance formulations allowing short sales, and derive closed-form optimal portfolio rules in static and dynamic settings.

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