This article presents a new approach for building robust portfolios based on stochastic efficiency analysis and periods of market downturn. The empirical analysis is done on assets traded on the Brazil Stock Exchange, B3 (Brasil, Bolsa, Balcao). We start with information on the assets from...

We develop in this paper a novel portfolio selection framework with a feature of double robustness in both return distribution modeling and portfolio optimization. While predicting the future return distributions always represents the most compelling challenge in investment, any underlying...

This paper presents an asset liability management model based on robust optimization techniques. The model explicitly takes into consideration the time-varying aspect of investment opportunities. The emphasis of the proposed approach is on computational tractability and practical appeal....

This article presents a new approach for building robust portfolios based on stochastic efficiency analysis and periods of market downturn. The empirical analysis is done on assets traded on the Brazil Stock Exchange, B3 (Brasil, Bolsa, Balcão). We start with information on the assets from...

This paper provides an overview of developments in robust optimization since 2007. It seeks to give a representative picture of the research topics most explored in recent years, highlight common themes in the investigations of independent research teams and highlight the contributions of rising...