Relative Robust Portfolio Optimization with benchmark regret
Gonçalo Simões, Mark McDonald, Stacy Williams, Daniel Fenn and Raphael Hauser
| Year of publication: |
2018
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|---|---|
| Authors: | Simões, Gonçalo ; McDonald, Mark ; Williams, Stacy ; Fenn, Daniel ; Hauser, Raphael A. |
| Published in: |
Quantitative finance. - Abingdon [u.a.] : Routledge, ISSN 1469-7688, ZDB-ID 2055458-8. - Vol. 18.2018, 12, p. 1991-2003
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| Subject: | Applied mathematical finance | Portfolio allocation | Portfolio constraints | Portfolio optimization | Portfolio-Management | Portfolio selection | Theorie | Theory | Mathematische Optimierung | Mathematical programming | Finanzmathematik | Mathematical finance | CAPM | Benchmarking |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2018.1453940 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012262941