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Hauser, Raphael 1 Krishnamurthy, Vijay 1 Reha T\"ut\"unc\"u 1
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Relative Robust Portfolio Optimization
Hauser, Raphael; Krishnamurthy, Vijay; Reha T\"ut\"unc\"u - arXiv.org - 2013
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...
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