Robust equity portfolio performance

Robust equity portfolio performance The earliest documented analytical approach to portfolio selection is Markowitz’s mean–variance analysis, which attempts to find the portfolio with optimal performance by considering the tradeoff between return and risk. The performance of mean–variance analysis has been the subject of many studies and compared to other portfolio construction approaches such as a naïve equally-weighted allocation scheme. In recent years, several approaches have been proposed to improve the mean–variance model by reducing the sensitivity of the portfolio selection process in order achieve robust performance. Although robust portfolio optimization has been one of the most researched methods for improving portfolio robustness, the performance of robust portfolios has not been the major focus of studies. In this paper, a comprehensive analysis on robust portfolio performance is presented for equity portfolios constructed in the U.S. market during the period 1980 and 2014, and results confirm the advantage of robust portfolio optimization for controlling uncertainty while efficiently allocating investments. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Annals of Operations Research Springer Journals

Robust equity portfolio performance

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Publisher
Springer Journals
Copyright
Copyright © 2017 by Springer Science+Business Media, LLC, part of Springer Nature
Subject
Business and Management; Operations Research/Decision Theory; Combinatorics; Theory of Computation
ISSN
0254-5330
eISSN
1572-9338
D.O.I.
10.1007/s10479-017-2739-1
Publisher site
See Article on Publisher Site

Abstract

The earliest documented analytical approach to portfolio selection is Markowitz’s mean–variance analysis, which attempts to find the portfolio with optimal performance by considering the tradeoff between return and risk. The performance of mean–variance analysis has been the subject of many studies and compared to other portfolio construction approaches such as a naïve equally-weighted allocation scheme. In recent years, several approaches have been proposed to improve the mean–variance model by reducing the sensitivity of the portfolio selection process in order achieve robust performance. Although robust portfolio optimization has been one of the most researched methods for improving portfolio robustness, the performance of robust portfolios has not been the major focus of studies. In this paper, a comprehensive analysis on robust portfolio performance is presented for equity portfolios constructed in the U.S. market during the period 1980 and 2014, and results confirm the advantage of robust portfolio optimization for controlling uncertainty while efficiently allocating investments.

Journal

Annals of Operations ResearchSpringer Journals

Published: Dec 23, 2017

References

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