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Article
Title:
Relative Robust Portfolio Optimization with Benchmark Regret
Authors:
Goncalo Simoes
(
U Oxford
)
Mark McDonald
(
HSBC Bank
)
Stacy Williams
(
Unlisted
)
Daniel Fenn
(
HSBC Bank
)
Raphael Hauser
(
U Oxford
)
Journal:
Quantitative Finance
Year:
2018
Volume:
18
Number:
12
Pages:
1991-2003
JEL codes:
C61 - Optimization Techniques; Programming Models; Dynamic Analysis
G11 - Portfolio Choice; Investment Decisions
DOI:
10.1080/14697688.2018.1453940
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