Robust Portfolio Selection Problems: A Comprehensive Review

TL;DR

This paper reviews recent advances in robust portfolio selection, categorizing models and methods, and discusses open questions and future research directions in the field.

Contribution

It provides a comprehensive classification of robust portfolio models and methods, highlighting recent developments and identifying open research questions.

Findings

Classified models based on financial problems and uncertainty sets

Summarized recent robust optimization approaches in portfolio selection

Outlined future research directions and open questions

Abstract

In this paper, we provide a comprehensive review of recent advances in robust portfolio selection problems and their extensions, from both operational research and financial perspectives. A multi-dimensional classification of the models and methods proposed in the literature is presented, based on the types of financial problems, uncertainty sets, robust optimization approaches, and mathematical formulations. Several open questions and potential future research directions are identified.