The worst-case discounted regret portfolio optimization problem
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Cites work
- A Robust Optimization Perspective on Stochastic Programming
- An expected regret minimization portfolio selection model
- Convex Approximations of Chance Constrained Programs
- Distributionally robust optimization and its tractable approximations
- Fully distribution-free profit maximization: the inventory management case
- Improve robustness of sparse PCA by \(L_{1}\)-norm maximization
- Monte Carlo and quasi-Monte Carlo sampling
- On sharpness of Tchebycheff-type inequalities
- Robust convex optimization
- Tight bounds for some risk measures, with applications to robust portfolio selection
Cited in
(7)- Markowitz with regret
- A distributional robust minimax regret optimization approach for multi-objective portfolio problems
- Internal regret in on-line portfolio selection
- Recent contributions to linear semi-infinite optimization: an update
- Internal regret in on-line portfolio selection
- A new approach for worst-case regret portfolio optimization problem
- An interval portfolio selection problem based on regret function
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