2 papers
q-fin.PM2019
Is being `Robust' beneficial?: A perspective from the Indian market
Mohammed Bilal Girach, Shashank Oberoi, Siddhartha P. Chakrabarty
The problem of data uncertainty has motivated the incorporation of robust optimization in various arenas, beyond the Markowitz portfolio optimization. This work presents the extens…
q-fin.PM2019
Can robust optimization offer improved portfolio performance?: An empirical study of Indian market
Shashank Oberoi, Mohammed Bilal Girach, Siddhartha P. Chakrabarty
The emergence of robust optimization has been driven primarily by the necessity to address the demerits of the Markowitz model. There has been a noteworthy debate regarding conside…