The worst-case discounted regret portfolio optimization problem

DOI10.1016/J.AMC.2014.04.072zbMATH Open1335.91063OpenAlexW1985516853MaRDI QIDQ274372FDOQ274372

Ying Ji, Yong Zhou, Tienan Wang, Mark Goh, Bo Zou

Publication date: 22 April 2016

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2014.04.072

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zbMATH Keywords

linear programmingrobust optimizationdiscounted regret portfolio optimizationlinearization methoduncertain distributions

Mathematics Subject Classification ID

Linear programming (90C05) Applications of mathematical programming (90C90) Portfolio theory (91G10) Financial applications of other theories (91G80)

Cites Work

• Monte Carlo and quasi-Monte Carlo sampling
• Improve robustness of sparse PCA by \(L_{1}\)-norm maximization
• On sharpness of Tchebycheff-type inequalities
• Convex Approximations of Chance Constrained Programs
• 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

Cited In (5)

• Internal regret in on-line portfolio selection
• 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
• Recent contributions to linear semi-infinite optimization: an update

Uses Software

• ROME

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