The worst-case discounted regret portfolio optimization problem

DOI10.1016/j.amc.2014.04.072zbMath1335.91063OpenAlexW1985516853MaRDI QIDQ274372

F. Blanchet-Sadri, M. Dambrine

Publication date: 22 April 2016

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2014.04.072

zbMATH Keywords

linear programminglinearization methodrobust optimizationdiscounted regret portfolio optimizationuncertain distributions

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Linear programming (90C05) Financial applications of other theories (91G80) Portfolio theory (91G10)

Related Items (2)

Recent contributions to linear semi-infinite optimization: an update ⋮ A new approach for worst-case regret portfolio optimization problem

Uses Software

• ROME

Cites Work

• An expected regret minimization portfolio selection model
• Improve robustness of sparse PCA by \(L_{1}\)-norm maximization
• Monte Carlo and quasi-Monte Carlo sampling
• On sharpness of Tchebycheff-type inequalities
• Robust Convex Optimization
• 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
• Convex Approximations of Chance Constrained Programs

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