In spite of their importance, third or higher moments of portfolio returns are often neglected in portfolio construction problems due to the computational difficulties associated with them. In this paper, we propose a new robust mean–variance approach that can control portfolio skewness and...

Robust portfolios resolve the sensitivity issue identified as a concern in implementing mean–variance analysis. Because robust approaches are not widely used in practice due to a limited understanding regarding the portfolios constructed from these methods, we present an analysis of the...