EconBiz - Find Economic Literature
    • Logout
    • Change account settings
  • A-Z
  • Beta
  • About EconBiz
  • News
  • Thesaurus (STW)
  • Academic Skills
  • Help
  •  My account 
    • Logout
    • Change account settings
  • Login
EconBiz - Find Economic Literature
Publications Events
Search options
Advanced Search history
My EconBiz
Favorites Loans Reservations Fines
    You are here:
  • Home
  • Search: subject:"objective-based loss functions"
Narrow search

Narrow search

Year of publication
Subject
All
Bayesian methods 1 ambiguity 1 competitive analysis 1 convex duality 1 learning 1 model uncertainty 1 objective-based loss functions 1 parameter uncertainty 1 portfolio selection 1 regret 1 relative regret 1
more ... less ...
Online availability
All
Undetermined 1
Type of publication
All
Article 1
Language
All
Undetermined 1
Author
All
Lim, Andrew E. B. 1 Shanthikumar, J. George 1 Vahn, Gah-Yi 1
Published in...
All
Management Science 1
Source
All
RePEc 1
Showing 1 - 1 of 1
Cover Image
Robust Portfolio Choice with Learning in the Framework of Regret: Single-Period Case
Lim, Andrew E. B.; Shanthikumar, J. George; Vahn, Gah-Yi - In: Management Science 58 (2012) 9, pp. 1732-1746
In this paper, we formulate a single-period portfolio choice problem with parameter uncertainty in the framework of relative regret. Relative regret evaluates a portfolio by comparing its return to a family of benchmarks, where the benchmarks are the wealths of fictitious investors who invest...
Persistent link: https://www.econbiz.de/10010990462
Saved in:
A service of the
zbw
  • Sitemap
  • Plain language
  • Accessibility
  • Contact us
  • Imprint
  • Privacy

Loading...