A new approach for worst-case regret portfolio optimization problem

DOI10.3934/dcdss.2019050zbMath1422.37077OpenAlexW2901187524WikidataQ128861806 ScholiaQ128861806MaRDI QIDQ2321628

Ying Ji, Yeming Dai, Shao-Jian Qu

Publication date: 23 August 2019

Published in: Discrete and Continuous Dynamical Systems. Series S (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/dcdss.2019050

zbMATH Keywords

linearizationportfolio optimizationrobust optimizationreformulationworst-case regret

Mathematics Subject Classification ID

Minimax problems in mathematical programming (90C47) Stochastic programming (90C15) Dynamical systems in optimization and economics (37N40) Portfolio theory (91G10)

Related Items (1)

The robust minimum cost consensus model with risk aversion

Uses Software

• ROME

Cites Work

• The worst-case discounted regret portfolio optimization problem
• An expected regret minimization portfolio selection model
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• Distributionally Robust Convex Optimization
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• Distributionally Robust Optimization and Its Tractable Approximations
• Fully Distribution-Free Profit Maximization: The Inventory Management Case
• Tight Bounds for Some Risk Measures, with Applications to Robust Portfolio Selection
• A Robust Optimization Perspective on Stochastic Programming

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