Robust portfolio optimisation with specified competitors
We extend Relative Robust Portfolio Optimization models to allow portfolios to optimize their performance when considered relative to a set of benchmarks. We do this in a minimum volatility setting, where we model regret directly as the maximum difference between our volatility and that of a given b...
| Main Authors: | , , , , |
|---|---|
| Format: | Journal article |
| Language: | English |
| Published: |
Routledge
2018
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