Relative Robust Portfolio Optimization
Portfolio Management
2013-05-14 v2 Optimization and Control
Computational Finance
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.
Keywords
Cite
@article{arxiv.1305.0144,
title = {Relative Robust Portfolio Optimization},
author = {Raphael Hauser and Vijay Krishnamurthy and Reha Tütüncü},
journal= {arXiv preprint arXiv:1305.0144},
year = {2013}
}