# Robust Portfolio Selection Problems: A Comprehensive Review

arXiv: https://arxiv.org/abs/2103.13806 · HTML: https://mlsanity.com/paper/2103.13806/

## Key facts

- Cited by 1 papers in the map (data through 14 Oct 2026).
- First posted on arXiv 23 Mar 2021.

## Built on by (most cited first, 1 of 1)

- [Deep Reinforcement Learning for Optimal Portfolio Allocation: A Comparative Study with Mean-Variance Optimization](https://mlsanity.com/paper/2602.17098/) (2026)

## Abstract (arXiv)

In this paper, we provide a comprehensive review of recent advances in robust portfolio selection problems and their extensions, from both operational research and financial perspectives. A multi-dimensional classification of the models and methods proposed in the literature is presented, based on the types of financial problems, uncertainty sets, robust optimization approaches, and mathematical formulations. Several open questions and potential future research directions are identified.