A new approach for worst-case regret portfolio optimization problem

DOI10.3934/DCDSS.2019050MaRDI QIDQ2321628zbMATH OpenOpenAlexWikidataFDO

Authors Ying Ji, Yeming Dai, Shaojian Qu

Publication date 23 August 2019

Published in Discrete and Continuous Dynamical Systems. Series S (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.3934/dcdss.2019050

zbMATH Keywords

linearizationportfolio optimizationreformulationrobust optimizationworst-case regret

Mathematics Subject Classification ID

Dynamical systems in optimization and economics (37N40) Stochastic programming (90C15) Minimax problems in mathematical programming (90C47) Portfolio theory (91G10)

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Cites work

• A Robust Optimization Perspective on Stochastic Programming
• An expected regret minimization portfolio selection model
• Distributionally Robust Convex Optimization
• Distributionally robust joint chance constraints with second-order moment information
• Distributionally robust optimization and its tractable approximations
• Distributionally robust optimization under moment uncertainty with application to data-driven problems
• Fully distribution-free profit maximization: the inventory management case
• Improve robustness of sparse PCA by \(L_{1}\)-norm maximization
• On sharpness of Tchebycheff-type inequalities
• Robust convex optimization
• Robust reward–risk ratio optimization with application in allocation of generation asset
• The worst-case discounted regret portfolio optimization problem
• Tight bounds for some risk measures, with applications to robust portfolio selection

Cited in

(6)

• An interval portfolio selection problem based on regret function
• The worst-case discounted regret portfolio optimization problem
• Internal regret in on-line portfolio selection
• Internal regret in on-line portfolio selection
• The robust minimum cost consensus model with risk aversion
• A distributional robust minimax regret optimization approach for multi-objective portfolio problems

Describes a project that uses

Uses Software

• ROME

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