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