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The Journal of Portfolio Management

The Journal of Portfolio Management

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Primary Article

Robust Portfolio Optimization

Frank J. Fabozzi, Petter N. Kolm, Dessislava A. Pachamanova and Sergio M. Focardi
The Journal of Portfolio Management Spring 2007, 33 (3) 40-48; DOI: https://doi.org/10.3905/jpm.2007.684751
Frank J. Fabozzi
A professor in the practice of finance in the School of Management at Yale University in New Haven, CT.
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  • For correspondence: frank.fabozzi@yale.edu
Petter N. Kolm
A doctoral student in finance at Yale University, and a financial consultant in New York City.
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  • For correspondence: petter.kolm@gmail.com
Dessislava A. Pachamanova
An assistant professor of operations research at Babson College in Wellesley, MA.
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  • For correspondence: dpachamanova@babson.edu
Sergio M. Focardi
A partner of the Intertek Group in Paris.
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  • For correspondence: interteksf@aol.com
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Abstract

As quantitative techniques have become commonplace in the investment industry, the mitigation of estimation and model risk in portfolio management has grown in importance. Robust optimization, which incorporates estimation error directly into the portfolio optimization process, is typically used with conventional robust statistical estimation methods. This perspective on the robust optimization approach reviews useful practical extensions and discusses potential applications for robust portfolio optimization.

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The Journal of Portfolio Management
Vol. 33, Issue 3
Spring 2007
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Robust Portfolio Optimization
Frank J. Fabozzi, Petter N. Kolm, Dessislava A. Pachamanova, Sergio M. Focardi
The Journal of Portfolio Management Apr 2007, 33 (3) 40-48; DOI: 10.3905/jpm.2007.684751

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Robust Portfolio Optimization
Frank J. Fabozzi, Petter N. Kolm, Dessislava A. Pachamanova, Sergio M. Focardi
The Journal of Portfolio Management Apr 2007, 33 (3) 40-48; DOI: 10.3905/jpm.2007.684751
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