Portfolio selection under uncertainty: a new methodology for computing relative‐robust solutions

In this paper, a new methodology for computing relative‐robust portfolios based on minimax regret is proposed. Regret is defined as the utility loss for the investor resulting from choosing a given portfolio instead of choosing the optimal portfolio of the realized scenario. The absolute‐robust stra...

Ausführliche Beschreibung

Bibliographische Detailangaben

Veröffentlicht in:	International transactions in operational research 2021-05, Vol.28 (3), p.1296-1329
Hauptverfasser:	Caçador, Sandra, Dias, Joana Matos, Godinho, Pedro
Format:	Artikel
Sprache:	eng
Schlagworte:	Computation Decision theory Expected utility Genetic algorithms minimax regret Minimax technique Operations research Optimization portfolio selection relative robustness robust optimization
Online-Zugang:	Volltext
Tags:	Tag hinzufügen Keine Tags, Fügen Sie den ersten Tag hinzu!