Browsing Τμήμα Οικονομικών / Department of Economics by Subject "Robustness"

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    • Article  

      Robust minimum variance portfolio optimization modelling under scenario uncertainty 

      Xidonas, Panos; Hassapis, Christis; Soulis, John; Samitas, Aristeidis (2017)
      Our purpose in this article is to develop a robust optimization model which minimizes portfolio variance for a finite set of covariance matrices scenarios. The proposed approach aims at the proper selection of portfolios, ...
    • Article  

      Robust multiobjective portfolio optimization: A minimax regret approach 

      Xidonas, Panos; Mavrotas, George; Hassapis, Christis; Zopounidis, Constantin (2017)
      An efficient frontier in the typical portfolio selection problem provides an illustrative way to express the tradeoffs between return and risk. Following the basic ideas of modern portfolio theory as introduced by Markowitz, ...