Robust Portfolio Optimization and Management

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Filtering via approximate Bayesian computation (2010, unknown): “As a result, this has lead to various developments such as robust portfolio optimization (e.g. Fabozzi et al. 2007), the use of dimension reduction (for large d) or the use of constraints in the optimization function (e.g. DeMiguel et al. 2009b).”
The Price of Fairness (2011, background): “History : Received July 2009; revision received December 2009; accepted March 2010.”
Recent advances in robust optimization: An overview (2014, background): “Fabozzi et al. (2007) describe extensively applications of robust optimization in finance from a practitioner’s perspective. The reader is further referred to Fabozzi et al. (2010) for a survey on robust portfolio selection, which incorporates not only the traditional mean-variance objective, but al”
Generation expansion planning optimisation with renewable energy integration: A review (2017, background): “More advanced versions include risk considerations such as penalties for constraint violation and probabilistic guarantees [55].”