ROBUST ASSET ALLOCATION WITH BENCHMARKED OBJECTIVES
From MaRDI portal
Publication:3100750
DOI10.1111/j.1467-9965.2010.00448.xzbMath1239.91151MaRDI QIDQ3100750
J. George Shanthikumar, Andrew E. B. Lim, Thaisiri Watewai
Publication date: 21 November 2011
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.2010.00448.x
robust control; convex duality; model uncertainty; Bayesian models; robust portfolio selection; relative regret; ambiquity; relative performance measure
91B70: Stochastic models in economics
91B16: Utility theory
91G80: Financial applications of other theories
91G10: Portfolio theory
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