Portfolio selection under uncertainty: a new methodology for computing relative‐robust solutions
In this paper, a new methodology for computing relative-robust portfolios based on minimax regret is proposed. Regret is defined as the utility loss for the investor resulting from choosing a given portfolio instead of choosing the optimal portfolio of the realized scenario. The absolute robust stra...
| Autor principal: | |
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| Outros Autores: | , |
| Formato: | article |
| Idioma: | eng |
| Publicado em: |
2019
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| Assuntos: | |
| Texto completo: | http://hdl.handle.net/10316/87194 |
| País: | Portugal |
| Oai: | oai:estudogeral.sib.uc.pt:10316/87194 |