A new approach for worst-case regret portfolio optimization problem
DOI10.3934/DCDSS.2019050zbMATH Open1422.37077OpenAlexW2901187524WikidataQ128861806 ScholiaQ128861806MaRDI QIDQ2321628FDOQ2321628
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)
Full work available at URL: https://doi.org/10.3934/dcdss.2019050
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Portfolio theory (91G10) Stochastic programming (90C15) Minimax problems in mathematical programming (90C47) Dynamical systems in optimization and economics (37N40)
Cites Work
- Improve robustness of sparse PCA by \(L_{1}\)-norm maximization
- Distributionally robust joint chance constraints with second-order moment information
- On sharpness of Tchebycheff-type inequalities
- Distributionally robust optimization under moment uncertainty with application to data-driven problems
- The worst-case discounted regret portfolio optimization problem
- Robust convex optimization
- Distributionally robust optimization and its tractable approximations
- Fully distribution-free profit maximization: the inventory management case
- Tight bounds for some risk measures, with applications to robust portfolio selection
- A Robust Optimization Perspective on Stochastic Programming
- An expected regret minimization portfolio selection model
- Distributionally Robust Convex Optimization
- Robust reward–risk ratio optimization with application in allocation of generation asset
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
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