In order to evaluate and compare the advantages related with the use of the robust counterpart of three models of portfolio selection, we performed an implementation of the models both in a robust and a non-robust way. The comparison is done through an ex-post analysis on the results obtained by the ex-ante implementation of each model in selecting from a set of 28 European hedge funds during 2007, a “wonderful” year of data for model stressing and backtesting. As we shall see, the strategies obtained by means of the robust approach have a definitely better performance and, among the robust models, CVaR dominates the other competitors because of its coherent nature.
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