鲁棒投资组合选择优化问题的研究进展

Abstract

Abstract: This paper reviews the recent progresses and trends of the researches on the robust portfolio optimization. Based on the mean-variance model of portfolio optimization, the history of robust portfolio optimization is looked back. Meanwhile, the research focus of robust portfolio optimization and the present research status at home and abroad are introduced in details. Moreover, some new viewpoints are proposed for future development directions and for some main research contents in the field of robust portfolio optimization so as to provide reference for the related research works in the future.

Key words: robust optimization, portfolio selection, mean-variance model, research focus, development trends

CLC Number:

O221

LIANG Xikun, XU Chengxian, ZHENG Dong. The research progress of robust portfolio optimization[J]. Operations Research Transactions, 2014, 18(2): 87-95.

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The research progress of robust portfolio optimization

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