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

portfolio optimizationrobust optimizationlinearizationreformulationworst-case regret

Mathematics Subject Classification ID

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

Recommendations

• The worst-case discounted regret portfolio optimization problem
• A worst-case approach to continuous-time portfolio optimisation
• Worst-case scenario portfolio optimization: a new stochastic control approach
• On Worst-Case Portfolio Optimization
• An interval portfolio selection problem based on regret function
• Worst-case portfolio optimization in discrete time
• Robust multiobjective portfolio optimization: A minimax regret approach
• An expected regret minimization portfolio selection model
• Optimal portfolios under worst-case scenarios
• Relative robust portfolio optimization with benchmark regret

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)

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

Describes a project that uses

Uses Software

• ROME

This page was built for publication: A new approach for worst-case regret portfolio optimization problem

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2321628)