Ellipsoidal and separable robust portfolio models show higher in-sample average Sharpe ratios than Markowitz on BSE 30 and BSE 100 data, but the evaluation is entirely in-sample.
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Can robust optimization offer improved portfolio performance?: An empirical study of Indian market
Ellipsoidal and separable robust portfolio models show higher in-sample average Sharpe ratios than Markowitz on BSE 30 and BSE 100 data, but the evaluation is entirely in-sample.