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)



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

Repository Staff Only: item control page