Robust portfolio choice with learning in the framework of regret: Single period case

Journal

Management Science

Subject

Management Science and Operations

Authors / Editors

Lim A E B; Shanthikumar J G; Ban G-Y

Biographies

Publication Year

2012

Keywords

Parameter uncertainty; Ambiguity; Model uncertainty; Learning; Regret; Relative regret; Competitive analysis; Portfolio selection; Bayesian methods; Objective-based loss functions; Convex duality