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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