Robust portfolio optimization refers to finding an asset allocation strategy whose behavior under the worst possible realizations of the uncertain inputs, e.g., returns and covariances, is optimized. The robust approach is in contrast to the classical approach, where one estimates the inputs to a portfolio allocation problem and then treats them as certain and accurate. In this paper we provide a categorized bibliography on the application of robust mathematical programming to the portfolio selection problem. With no similar surveys available, one of the aims of this review is to provide quick access for those interested, but maybe not yet in the area, so they know what the area is about, what has been accomplished and where everything can be found. Toward this end, a total of 148 references have been compiled and classified in various ways. Additionally, the number of Scopus© citations by contribution and journal is recorded. Finally, a brief discussion of the review’s major findings is provided and some solid leads on future directions are given.

中文翻译：

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稳健的投资组合优化：分类书目审查

稳健的投资组合优化是指找到一种资产配置策略，其在不确定输入（例如回报和协方差）的最坏可能实现下的行为得到优化。稳健方法与经典方法形成对比，后者估计投资组合分配问题的输入，然后将它们视为确定和准确的。在本文中，我们提供了关于稳健数学规划在投资组合选择问题中应用的分类参考书目。由于没有可用的类似调查，本次审查的目的之一是为感兴趣但可能尚未进入该地区的人提供快速访问，以便他们了解该地区的内容、已完成的内容以及可以找到所有内容的地方。为此，共汇编了 148 篇参考文献，并以各种方式进行了分类。此外，还记录了按贡献和期刊分类的 Scopus© 引用次数。最后，对审查的主要发现进行了简要讨论，并给出了有关未来方向的一些可靠线索。