Exploring the Evolution of Robust Portfolio Optimization: A Scientometric Analysis

Iranian Journal of Accounting, Auditing and Finance

دوره 8، شماره 3 - شماره پیاپی 28، آبان 2024، صفحه 75-92   

نوع مقاله: Review article

شناسه دیجیتال (DOI): 10.22067/ijaaf.2024.44518.1402

نویسندگان

Amirhossein Eskorouchi¹؛ Hossein Ghanbari¹؛ Emran Mohammadi^{* 2}

¹School of Industrial Engineering, Iran University of Science and Technology, Tehran, Iran

²Department of Industrial and Systems Engineering, Mississippi State University, Mississippi State 39762, USA

چکیده

In the wake of recent turbulent events in the global economy, the need for robust methods to navigate uncertainties in financial markets has become increasingly apparent. Robust portfolio optimization (RPO) offers a solution by devising investment strategies that perform well even under adverse scenarios of uncertain inputs such as returns and covariances. This paper conducts a systematic review of recent developments and extensions in the field of RPO. Leveraging bibliometric analysis and visual mapping techniques, we scrutinize 1085 articles published between 2000 and 2023. Our analysis traces the evolution and trends within RPO, examining the interconnectedness among articles, authors, sources, countries, and keywords. The insights gleaned from our study can guide future research endeavors in this domain and aid practitioners in making more informed investment decisions.

کلیدواژه‌ها

Bibliometric Analysis؛ Financial Markets؛ Robust Portfolio Optimization؛ Uncertainty؛ Scientometric Analysis