Name
Abstract | ||
|---|---|---|
•A regret-based robustness measure, which can be applied to all Pareto solutions.•Extension of the minimax regret criterion in multiobjective programming.•Managerial usability for investment practitioners.•Out-of-sample empirical testing with historical market data. |
Year | DOI | Venue |
|---|---|---|
2017 | 10.1016/j.ejor.2017.03.041 | European Journal of Operational Research |
Keywords | Field | DocType |
Multiple objective programming,Portfolio optimization,Minimax regret,Robustness | Mathematical optimization,Regret,Modern portfolio theory,Robustness (computer science),Efficient frontier,Portfolio,Post-modern portfolio theory,Portfolio optimization,Mathematics,Empirical research | Journal |
Volume | Issue | ISSN |
262 | 1 | 0377-2217 |
Citations | PageRank | References |
12 | 0.58 | 13 |
Authors | ||
4 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Panagiotis Xidonas | 1 | 91 | 6.66 |
| George Mavrotas | 2 | 299 | 18.55 |
| Christis Hassapis | 3 | 12 | 1.26 |
| Constantin Zopounidis | 4 | 1066 | 90.47 |