The Mathematical Institute, University of Oxford, Eprints Archive

Relative Robust Portfolio Optimization

Hauser, Raphael and Krishnamurthy, Vijay and Tütüncü, Reha (2013) Relative Robust Portfolio Optimization. Technical Report. Unspecified. (Submitted)

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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.

Item Type:Technical Report (Technical Report)
Subjects:O - Z > Operations research, mathematical programming
D - G > Game theory, mathematical finance, economics, social and behavioral sciences
Research Groups:Mathematical and Computational Finance Group
Numerical Analysis Group
ID Code:1699
Deposited By: Lotti Ekert
Deposited On:02 May 2013 07:40
Last Modified:29 May 2015 19:23

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