Risk management in multi-objective portfolio optimization under uncertainty Article Swipe
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· 2024
· Open Access
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· DOI: https://doi.org/10.48550/arxiv.2407.19936
In portfolio optimization, decision makers face difficulties from uncertainties inherent in real-world scenarios. These uncertainties significantly influence portfolio outcomes in both classical and multi-objective Markowitz models. To address these challenges, our research explores the power of robust multi-objective optimization. Since portfolio managers frequently measure their solutions against benchmarks, we enhance the multi-objective min-regret robustness concept by incorporating these benchmark comparisons. This approach bridges the gap between theoretical models and real-world investment scenarios, offering portfolio managers more reliable and adaptable strategies for navigating market uncertainties. Our framework provides a more nuanced and practical approach to portfolio optimization under real-world conditions.
Related Topics To Compare & Contrast
- Type
- preprint
- Language
- en
- Landing Page
- http://arxiv.org/abs/2407.19936
- https://arxiv.org/pdf/2407.19936
- OA Status
- green
- Cited By
- 1
- Related Works
- 10
- OpenAlex ID
- https://openalex.org/W4401202342