DOI
10.48550/arxiv.1305.0144
Last updated
2025-08-19T10:43:37.357+01:00
Abstract
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.
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.
Symplectic ID
871262
Submitted to ORA
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Publication type
Journal Article
Publication date
01 May 2013