Browsing Τμήμα Οικονομικών / Department of Economics by Author "Steuer, Ralph"
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Article
Robust portfolio optimization: a categorized bibliographic review
Xidonas, Panos; Steuer, Ralph; Hassapis, Christis (2020)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 ...