Kim, Jang Ho; Kim, Woo Chang; Fabozzi, Frank J. - In: Finance Research Letters 10 (2013) 2, pp. 72-81
Robust portfolios resolve the sensitivity issue identified as a concern in implementing mean–variance analysis. Because … mean–variance formulation, robust optimization formulations form portfolios that contain a fewer number of stocks, avoid … stocks composing the portfolio. These properties are also found for global minimum-variance portfolios. …