Relative Robust Portfolio Optimization
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.
Year of publication: |
2013-05
|
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Authors: | Hauser, Raphael ; Krishnamurthy, Vijay ; Reha T\"ut\"unc\"u |
Institutions: | arXiv.org |
Saved in:
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