TY - JOUR T1 - Robust Portfolio Optimization JF - The Journal of Portfolio Management SP - 40 LP - 48 DO - 10.3905/jpm.2007.684751 VL - 33 IS - 3 AU - Frank J. Fabozzi AU - Petter N. Kolm AU - Dessislava A. Pachamanova AU - Sergio M. Focardi Y1 - 2007/04/30 UR - https://pm-research.com/content/33/3/40.abstract N2 - 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.TOPICS: Portfolio management/multi-asset allocation, portfolio construction, simulations ER -