A minimax regret portfolio model based on the investor’s utility loss
Year of publication: |
2022
|
---|---|
Authors: | Caçador, Sandra ; Godinho, Pedro Manuel Cortesão ; Dias, Joana |
Published in: |
Operational research : an international journal. - Berlin : Springer, ISSN 1866-1505, ZDB-ID 2425760-6. - Vol. 22.2022, 1, p. 449-484
|
Subject: | Minimax regret | Portfolio selection | Robust optimization | Uncertainty | Theorie | Theory | Portfolio-Management | Entscheidung unter Unsicherheit | Decision under uncertainty | Risiko | Risk | Mathematische Optimierung | Mathematical programming |
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