A practical guide to robust portfolio optimization
研究了稳健优化如何克服均值-方差优化对输入参数敏感的缺陷，给出了不确定性集合形式和水平的选择建议，并通过实例证明其在实际投资中的应用价值。
Robust optimization takes into account the uncertainty in expected returns to address the shortcomings of portfolio mean-variance optimization, namely the sensitivity of the optimal portfolio to inputs. We investigate the mechanisms by which robust optimization achieves its goal and give practical guidance when it comes to the choice of uncertainty in form and level. We explain why the quadratic uncertainty set should be preferred to box uncertainty based on the literature review, we show that a diagonal uncertainty matrix with only variances should be used, and that the level of uncertainty can be chosen as a function of the asset Sharpe ratios. Finally, we use practical examples to show that, with the proposed parametrization, robust optimization does overcome the weaknesses of mean-variance optimization and can be applied in real investment problems such as the management of multi-asset portfolios or in robo-advising.