Robust Portfolio Optimisation with Specified Competitors
Portfolio Management
2017-01-12 v1
Abstract
We extend Relative Robust Portfolio Optimisation models to allow portfolios to optimise their distance to a set of benchmarks. Portfolio managers are also given the option of computing regret in a way which is more in line with market practices than other approaches suggested in the literature. In addition, they are given the choice of simply adding an extra constraint to their optimisation problem instead of outright changing the objective function, as is commonly suggested in the literature. We illustrate the benefits of this approach by applying it to equity portfolios in a variety of regions.
Keywords
Cite
@article{arxiv.1701.02958,
title = {Robust Portfolio Optimisation with Specified Competitors},
author = {Gonçalo Simões and Mark McDonald and Stacy Williams and Daniel Fenn and Raphael Hauser},
journal= {arXiv preprint arXiv:1701.02958},
year = {2017}
}