ROBUST PORTFOLIO OPTIMIZATION FOR CONSTRUCTING INVESTMENT PORTFOLIOS IN THE MONGOLIAN STOCK EXCHANGE

Abstract

This study investigates the construction of investment portfolios on the Mongolian Stock Exchange (MSE) data using robust portfolio optimization methods that account for uncertainty in investment returns. Robust models incorporating ellipsoidal uncertainty sets and box uncertainty sets for expected returns were developed and applied. The results show that the robust models produce more stable and practically applicable portfolios compared to the traditional Markowitz model.