{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,4,30]],"date-time":"2026-04-30T04:18:37Z","timestamp":1777522717370,"version":"3.51.4"},"reference-count":40,"publisher":"Springer Science and Business Media LLC","issue":"1-2","license":[{"start":{"date-parts":[[2017,12,23]],"date-time":"2017-12-23T00:00:00Z","timestamp":1513987200000},"content-version":"unspecified","delay-in-days":0,"URL":"http:\/\/www.springer.com\/tdm"}],"funder":[{"DOI":"10.13039\/501100003725","name":"National Research Foundation of Korea","doi-asserted-by":"publisher","award":["NRF-2016R1C1B1014492"],"award-info":[{"award-number":["NRF-2016R1C1B1014492"]}],"id":[{"id":"10.13039\/501100003725","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":["link.springer.com"],"crossmark-restriction":false},"short-container-title":["Ann Oper Res"],"published-print":{"date-parts":[[2018,7]]},"DOI":"10.1007\/s10479-017-2739-1","type":"journal-article","created":{"date-parts":[[2017,12,23]],"date-time":"2017-12-23T01:33:55Z","timestamp":1513992835000},"page":"293-312","update-policy":"https:\/\/doi.org\/10.1007\/springer_crossmark_policy","source":"Crossref","is-referenced-by-count":23,"title":["Robust equity portfolio performance"],"prefix":"10.1007","volume":"266","author":[{"given":"Jang Ho","family":"Kim","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Woo Chang","family":"Kim","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Do-Gyun","family":"Kwon","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Frank J.","family":"Fabozzi","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"297","published-online":{"date-parts":[[2017,12,23]]},"reference":[{"issue":"2","key":"2739_CR1","doi-asserted-by":"crossref","first-page":"315","DOI":"10.1093\/rfs\/4.2.315","volume":"4","author":"MJ Best","year":"1991","unstructured":"Best, M. J., & Grauer, R. R. (1991). On the sensitivity of mean\u2013variance-efficient portfolios to changes in asset means: Some analytical and computational results. Review of Financial Studies, 4(2), 315\u2013342.","journal-title":"Review of Financial Studies"},{"issue":"2","key":"2739_CR2","doi-asserted-by":"crossref","first-page":"201","DOI":"10.1016\/0304-405X(77)90018-6","volume":"5","author":"T Bloomfield","year":"1977","unstructured":"Bloomfield, T., Leftwich, R., & Long, J. B. (1977). Portfolio strategies and performance. Journal of Financial Economics, 5(2), 201\u2013218.","journal-title":"Journal of Financial Economics"},{"issue":"1","key":"2739_CR3","doi-asserted-by":"crossref","first-page":"21","DOI":"10.1007\/BF02282040","volume":"45","author":"M Broadie","year":"1993","unstructured":"Broadie, M. (1993). Computing efficient frontiers using estimated parameters. Annals of Operations Research, 45(1), 21\u201358.","journal-title":"Annals of Operations Research"},{"issue":"2","key":"2739_CR4","doi-asserted-by":"crossref","first-page":"109","DOI":"10.1057\/palgrave.jam.2240207","volume":"7","author":"S Ceria","year":"2006","unstructured":"Ceria, S., & Stubbs, R. A. (2006). Incorporating estimation errors into portfolio selection: Robust portfolio construction. Journal of Asset Management, 7(2), 109\u2013127.","journal-title":"Journal of Asset Management"},{"issue":"2","key":"2739_CR5","doi-asserted-by":"crossref","first-page":"6","DOI":"10.3905\/jpm.1993.409440","volume":"19","author":"VK Chopra","year":"1993","unstructured":"Chopra, V. K., & Ziemba, W. T. (1993). The effect of errors in means, variances, and covariances on optimal portfolio choice. Journal of Portfolio Management, 19(2), 6\u201311.","journal-title":"Journal of Portfolio Management"},{"issue":"1","key":"2739_CR6","doi-asserted-by":"crossref","first-page":"10","DOI":"10.3905\/jpm.2006.661366","volume":"33","author":"RG Clarke","year":"2006","unstructured":"Clarke, R. G., de Silva, H., & Thorley, S. (2006). Minimum-variance portfolios in the US equity market. Journal of Portfolio Management, 33(1), 10\u201324.","journal-title":"Journal of Portfolio Management"},{"issue":"2","key":"2739_CR7","doi-asserted-by":"crossref","first-page":"166","DOI":"10.1086\/294954","volume":"40","author":"KJ Cohen","year":"1967","unstructured":"Cohen, K. J., & Pogue, J. A. (1967). An empirical evaluation of alternative portfolio-selection models. Journal of Business, 40(2), 166\u2013193.","journal-title":"Journal of Business"},{"issue":"5","key":"2739_CR8","doi-asserted-by":"crossref","first-page":"1915","DOI":"10.1093\/rfs\/hhm075","volume":"22","author":"V DeMiguel","year":"2009","unstructured":"DeMiguel, V., Garlappi, L., & Uppal, R. (2009). Optimal versus naive diversification: How inefficient is the 1\/ $$N$$ N portfolio strategy? Review of Financial Studies, 22(5), 1915\u20131953.","journal-title":"Review of Financial Studies"},{"issue":"3","key":"2739_CR9","doi-asserted-by":"crossref","first-page":"7","DOI":"10.3905\/joi.2002.319510","volume":"11","author":"FJ Fabozzi","year":"2002","unstructured":"Fabozzi, F. J., Gupta, F., & Markowitz, H. M. (2002). The legacy of modern portfolio theory. Journal of Investing, 11(3), 7\u201322.","journal-title":"Journal of Investing"},{"key":"2739_CR10","doi-asserted-by":"crossref","first-page":"191","DOI":"10.1007\/s10479-009-0515-6","volume":"176","author":"FJ Fabozzi","year":"2010","unstructured":"Fabozzi, F. J., Huang, D., & Zhou, G. (2010). Robust portfolios: Contributions from operations research and finance. Annals of Operations Research, 176, 191\u2013220.","journal-title":"Annals of Operations Research"},{"key":"2739_CR11","doi-asserted-by":"crossref","first-page":"40","DOI":"10.3905\/jpm.2007.684751","volume":"33","author":"FJ Fabozzi","year":"2007","unstructured":"Fabozzi, F. J., Kolm, P. N., Pachamanova, D. A., & Focardi, S. M. (2007a). Robust portfolio optimization. Journal of Portfolio Management, 33, 40\u201348.","journal-title":"Journal of Portfolio Management"},{"key":"2739_CR12","volume-title":"Robust portfolio optimization and management","author":"FJ Fabozzi","year":"2007","unstructured":"Fabozzi, F. J., Kolm, P. N., Pachamanova, D. A., & Focardi, S. M. (2007b). Robust portfolio optimization and management. Hoboken, New Jersey: Wiley."},{"issue":"1","key":"2739_CR13","doi-asserted-by":"crossref","first-page":"186","DOI":"10.1016\/j.jeconom.2008.09.017","volume":"147","author":"J Fan","year":"2008","unstructured":"Fan, J., Fan, Y., & Lv, J. (2008). High dimensional covariance matrix estimation using a factor model. Journal of Econometrics, 147(1), 186\u2013197.","journal-title":"Journal of Econometrics"},{"issue":"1","key":"2739_CR14","doi-asserted-by":"crossref","first-page":"29","DOI":"10.3905\/jpm.1988.409181","volume":"15","author":"PA Frost","year":"1988","unstructured":"Frost, P. A., & Savarino, J. E. (1988). For better performance: Constrain portfolio weights. Journal of Portfolio Management, 15(1), 29\u201334.","journal-title":"Journal of Portfolio Management"},{"issue":"2","key":"2739_CR15","doi-asserted-by":"crossref","first-page":"61","DOI":"10.2469\/faj.v43.n2.61","volume":"43","author":"CB Garcia","year":"1987","unstructured":"Garcia, C. B., & Gould, F. J. (1987). A note on the measurement of risk in a portfolio. Financial Analysts Journal, 43(2), 61\u201369.","journal-title":"Financial Analysts Journal"},{"issue":"1","key":"2739_CR16","doi-asserted-by":"crossref","first-page":"1","DOI":"10.1287\/moor.28.1.1.14260","volume":"28","author":"D Goldfarb","year":"2003","unstructured":"Goldfarb, D., & Iyengar, G. (2003). Robust portfolio selection problems. Mathematics of Operations Research, 28(1), 1\u201338.","journal-title":"Mathematics of Operations Research"},{"issue":"8","key":"2739_CR17","doi-asserted-by":"crossref","first-page":"1253","DOI":"10.1016\/S0378-4266(99)00069-2","volume":"24","author":"RR Grauer","year":"2000","unstructured":"Grauer, R. R., & Shen, F. C. (2000). Do constraints improve portfolio performance? Journal of Banking and Finance, 24(8), 1253\u20131274.","journal-title":"Journal of Banking and Finance"},{"key":"2739_CR18","doi-asserted-by":"crossref","DOI":"10.1515\/9781400829385","volume-title":"Robustness","author":"LP Hansen","year":"2008","unstructured":"Hansen, L. P., & Sargent, T. J. (2008). Robustness. Princeton: Princeton University Press."},{"issue":"3","key":"2739_CR19","doi-asserted-by":"crossref","first-page":"35","DOI":"10.3905\/jpm.1991.409335","volume":"17","author":"RA Haugen","year":"1991","unstructured":"Haugen, R. A., & Baker, N. L. (1991). The efficient market inefficiency of capitalization-weighted stock portfolios. Journal of Portfolio Management, 17(3), 35\u201340.","journal-title":"Journal of Portfolio Management"},{"issue":"2","key":"2739_CR20","doi-asserted-by":"crossref","first-page":"389","DOI":"10.1111\/j.1540-6261.1968.tb00815.x","volume":"23","author":"MC Jensen","year":"1968","unstructured":"Jensen, M. C. (1968). The performance of mutual funds in the period 1945\u20131964. Journal of Finance, 23(2), 389\u2013416.","journal-title":"Journal of Finance"},{"issue":"1","key":"2739_CR21","doi-asserted-by":"crossref","first-page":"68","DOI":"10.2469\/faj.v48.n1.68","volume":"48","author":"P Jorion","year":"1992","unstructured":"Jorion, P. (1992). Portfolio optimization in practice. Financial Analysts Journal, 48(1), 68\u201374.","journal-title":"Financial Analysts Journal"},{"issue":"2","key":"2739_CR22","doi-asserted-by":"crossref","first-page":"72","DOI":"10.1016\/j.frl.2013.02.001","volume":"10","author":"JH Kim","year":"2013","unstructured":"Kim, J. H., Kim, W. C., & Fabozzi, F. J. (2013). Composition of robust equity portfolios. Finance Research Letters, 10(2), 72\u201381.","journal-title":"Finance Research Letters"},{"issue":"1","key":"2739_CR23","doi-asserted-by":"crossref","first-page":"103","DOI":"10.1007\/s10957-013-0329-1","volume":"161","author":"JH Kim","year":"2014","unstructured":"Kim, J. H., Kim, W. C., & Fabozzi, F. J. (2014). Recent developments in robust portfolios with a worst-case approach. Journal of Optimization Theory and Applications, 161(1), 103\u2013121.","journal-title":"Journal of Optimization Theory and Applications"},{"key":"2739_CR24","volume-title":"Robust equity portfolio management + website: Formulations, implementations, and properties using MATLAB","author":"WC Kim","year":"2016","unstructured":"Kim, W. C., Kim, J. H., & Fabozzi, F. J. (2016). Robust equity portfolio management + website: Formulations, implementations, and properties using MATLAB. Hoboken: Wiley."},{"issue":"5","key":"2739_CR25","doi-asserted-by":"crossref","first-page":"157","DOI":"10.3905\/jpm.2017.43.5.157","volume":"43","author":"JH Kim","year":"2017","unstructured":"Kim, J. H., Kim, W. C., & Fabozzi, F. J. (2017). Robust factor-based investing. Journal of Portfolio Management, 43(5), 157\u2013164.","journal-title":"Journal of Portfolio Management"},{"issue":"2","key":"2739_CR26","doi-asserted-by":"crossref","first-page":"356","DOI":"10.1016\/j.ejor.2013.10.060","volume":"234","author":"PN Kolm","year":"2014","unstructured":"Kolm, P. N., T\u00fct\u00fcnc\u00fc, R., & Fabozzi, F. J. (2014). 60 years of portfolio optimization: Practical challenges and current trends. European Journal of Operational Research, 234(2), 356\u2013371.","journal-title":"European Journal of Operational Research"},{"issue":"2","key":"2739_CR27","doi-asserted-by":"crossref","first-page":"47","DOI":"10.2469\/faj.v56.n2.2343","volume":"56","author":"TJ Linsmeier","year":"2000","unstructured":"Linsmeier, T. J., & Pearson, N. D. (2000). Value at risk. Financial Analysts Journal, 56(2), 47\u201367.","journal-title":"Financial Analysts Journal"},{"key":"2739_CR28","volume-title":"Managing investment portfolios: A dynamic process","author":"JL Maginn","year":"2007","unstructured":"Maginn, J. L., Tuttle, D. L., McLeavey, D. W., & Pinto, J. E. (2007). Managing investment portfolios: A dynamic process (3rd ed.). Hoboken: Wiley.","edition":"3"},{"issue":"1","key":"2739_CR29","first-page":"77","volume":"7","author":"HM Markowitz","year":"1952","unstructured":"Markowitz, H. M. (1952). Portfolio selection. Journal of Finance, 7(1), 77\u201391.","journal-title":"Journal of Finance"},{"key":"2739_CR30","doi-asserted-by":"crossref","first-page":"31","DOI":"10.2469\/faj.v45.n1.31","volume":"45","author":"RO Michaud","year":"1989","unstructured":"Michaud, R. O. (1989). The Markowitz optimization enigma: Is \u201coptimized\u201d optimal? Financial Analysts Journal, 45, 31\u201342.","journal-title":"Financial Analysts Journal"},{"key":"2739_CR31","doi-asserted-by":"crossref","DOI":"10.1201\/9781420010794","volume-title":"Quantitative equity portfolio management: Modern techniques and applications","author":"EE Qian","year":"2007","unstructured":"Qian, E. E., Hua, R. H., & Sorensen, E. H. (2007). Quantitative equity portfolio management: Modern techniques and applications. Boca Raton: CRC Press."},{"key":"2739_CR32","doi-asserted-by":"crossref","first-page":"21","DOI":"10.21314\/JOR.2000.038","volume":"2","author":"RT Rockafellar","year":"2000","unstructured":"Rockafellar, R. T., & Uryasev, S. (2000). Optimization of conditional value-at-risk. Journal of Risk, 2, 21\u201342.","journal-title":"Journal of Risk"},{"issue":"4","key":"2739_CR33","doi-asserted-by":"crossref","first-page":"13","DOI":"10.3905\/jpm.1992.701922","volume":"18","author":"R Roll","year":"1992","unstructured":"Roll, R. (1992). A mean\/variance analysis of tracking error. Journal of Portfolio Management, 18(4), 13\u201322.","journal-title":"Journal of Portfolio Management"},{"key":"2739_CR34","doi-asserted-by":"crossref","first-page":"374","DOI":"10.1057\/palgrave.jam.2250049","volume":"7","author":"B Scherer","year":"2007","unstructured":"Scherer, B. (2007). Can robust portfolio optimization help to build better portfolios? Journal of Asset Management, 7, 374\u2013387.","journal-title":"Journal of Asset Management"},{"issue":"2","key":"2739_CR35","doi-asserted-by":"crossref","first-page":"14","DOI":"10.2469\/faj.v70.n2.6","volume":"70","author":"TJ Sargent","year":"2014","unstructured":"Sargent, T. J. (2014). Rational expectations and ambiguity (corrected). Financial Analysts Journal, 70(2), 14\u201319.","journal-title":"Financial Analysts Journal"},{"issue":"1","key":"2739_CR36","doi-asserted-by":"crossref","first-page":"28","DOI":"10.2469\/faj.v48.n1.28","volume":"48","author":"JJ Siegel","year":"1992","unstructured":"Siegel, J. J. (1992). The equity premium: Stock and bond returns since 1802. Financial Analysts Journal, 48(1), 28\u201338.","journal-title":"Financial Analysts Journal"},{"issue":"1","key":"2739_CR37","doi-asserted-by":"crossref","first-page":"119","DOI":"10.1086\/294846","volume":"39","author":"WF Sharpe","year":"1966","unstructured":"Sharpe, W. F. (1966). Mutual fund performance. Journal of Business, 39(1), 119\u2013138.","journal-title":"Journal of Business"},{"issue":"3","key":"2739_CR38","doi-asserted-by":"crossref","first-page":"59","DOI":"10.3905\/joi.3.3.59","volume":"3","author":"FA Sortino","year":"1994","unstructured":"Sortino, F. A., & Price, L. N. (1994). Performance measurement in a downside risk framework. Journal of Investing, 3(3), 59\u201364.","journal-title":"Journal of Investing"},{"key":"2739_CR39","volume-title":"Computing return estimation error matrices for robust optimization","author":"RA Stubbs","year":"2005","unstructured":"Stubbs, R. A., & Vance, P. (2005). Computing return estimation error matrices for robust optimization. New York: Axioma Inc."},{"issue":"1\u20134","key":"2739_CR40","doi-asserted-by":"crossref","first-page":"157","DOI":"10.1023\/B:ANOR.0000045281.41041.ed","volume":"132","author":"RH T\u00fct\u00fcnc\u00fc","year":"2004","unstructured":"T\u00fct\u00fcnc\u00fc, R. H., & Koenig, M. (2004). Robust asset allocation. Annals of Operations Research, 132(1\u20134), 157\u2013187.","journal-title":"Annals of Operations Research"}],"container-title":["Annals of Operations Research"],"original-title":[],"language":"en","link":[{"URL":"http:\/\/link.springer.com\/article\/10.1007\/s10479-017-2739-1\/fulltext.html","content-type":"text\/html","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s10479-017-2739-1.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s10479-017-2739-1.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,10,8]],"date-time":"2019-10-08T11:35:43Z","timestamp":1570534543000},"score":1,"resource":{"primary":{"URL":"http:\/\/link.springer.com\/10.1007\/s10479-017-2739-1"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2017,12,23]]},"references-count":40,"journal-issue":{"issue":"1-2","published-print":{"date-parts":[[2018,7]]}},"alternative-id":["2739"],"URL":"https:\/\/doi.org\/10.1007\/s10479-017-2739-1","relation":{},"ISSN":["0254-5330","1572-9338"],"issn-type":[{"value":"0254-5330","type":"print"},{"value":"1572-9338","type":"electronic"}],"subject":[],"published":{"date-parts":[[2017,12,23]]}}}