Relative Robust Portfolio Optimization
نویسندگان
چکیده
Considering mean-variance portfolio problems with uncertain model parameters, we contrast the classical absolute robust optimization approach with the relative robust approach based on a maximum regret function. Although the latter problems are NP-hard in general, we show that tractable inner and outer approximations exist in several cases that are of central interest in asset management. AMS subject classifications. Primary 90C25, 91G10. Secondary 90C90, 90C47.
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