This paper investigates robust optimization methods for mean-variance portfolio selection problems under the estimation risk in mean returns. We show that with an ellipsoidal uncertainty set based on ...

Journal of the Royal Statistical Society. Series C (Applied Statistics), Vol. 57, No. 1 (2008), pp. 75-87 (13 pages) Complex survey sampling is often used to sample a fraction of a large finite ...

Sample size calculations for a continuous outcome require specification of the anticipated variance; inaccurate specification can result in an underpowered or overpowered study. For this reason, ...

(a) in the limit of low uncertainty in estimated asset mean returns, the robust portfolio converges toward the mean-variance portfolio obtained with the same inputs, and (b) in the limit of high ...