Relative robust portfolio optimization with benchmark regret

DOI10.1080/14697688.2018.1453940MaRDI QIDQ4619537zbMATH OpenOpenAlexWikidataFDO

Authors Gonçalo Simões, Mark McDonald, Stacy Williams, Daniel J. Fenn, Raphael A. Hauser

Publication date 6 February 2019

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://ora.ox.ac.uk/objects/uuid:ebd02e00-3eb0-4d99-a1e7-fab52fc1324f

zbMATH Keywords

applied mathematical financeportfolio allocationportfolio constraintsportfolio optimization

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cites work

• Recent developments in robust portfolios with a worst-case approach
• Robust discrete optimization and its applications
• Some NP-complete problems in quadratic and nonlinear programming
• Theory and applications of robust optimization

Cited in

(9)

• Portfolio management with benchmark related incentives under mean reverting processes
• Quantitative portfolio selection: using density forecasting to find consistent portfolios
• Relative utility bounds for empirically optimal portfolios
• Multiobjective optimization under uncertainty: a multiobjective robust (relative) regret approach
• A relative robust approach on expected returns with bounded CVaR for portfolio selection
• A new approach for worst-case regret portfolio optimization problem
• Robust asset allocation with benchmarked objectives
• On relation between expected regret and conditional value-at-risk
• Robust portfolio optimization: a categorized bibliographic review

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