realizations of uncertain parameters guarantees the minimum value of the worst-case relative regret among all feasible solutions …. For the Pareto optimality principle, an appropriate definition of the worst-case relative regret is specified. It is shown …

relative regret. Relative regret evaluates a portfolio by comparing its return to a family of benchmarks, where the benchmarks … objective when there is concern about parameter uncertainty or model ambiguity. The optimal relative regret portfolio is the one … the Lagrange multipliers, and the objective function involves the family of benchmarks from the relative regret problem …