Robust portfolio optimisation with specified competitors

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...

पूर्ण विवरण

ग्रंथसूची विवरण
मुख्य लेखकों:	Simões, G, McDonald, M, Williams, S, Fenn, D, Hauser, R
स्वरूप:	Journal article
भाषा:	English
प्रकाशित:	Routledge 2018

समान संसाधन

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