英文标题：
《Robust Portfolio Optimisation with Specified Competitors》
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作者：
Gon\\c{c}alo Sim\\~oes, Mark McDonald, Stacy Williams, Daniel Fenn,
Raphael Hauser
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最新提交年份：
2017
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英文摘要：
We extend Relative Robust Portfolio Optimisation models to allow portfolios to optimise their distance to a set of benchmarks. Portfolio managers are also given the option of computing regret in a way which is more in line with market practices than other approaches suggested in the literature. In addition, they are given the choice of simply adding an extra constraint to their optimisation problem instead of outright changing the objective function, as is commonly suggested in the literature. We illustrate the benefits of this approach by applying it to equity portfolios in a variety of regions.
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中文摘要：
我们扩展了相对稳健的投资组合优化模型，以允许投资组合优化其与一组基准的距离。与文献中建议的其他方法相比，投资组合经理还可以选择以更符合市场实践的方式计算遗憾。此外，他们可以选择简单地向优化问题添加额外约束，而不是像文献中通常建议的那样彻底改变目标函数。我们通过将其应用于各个地区的股票投资组合来说明这种方法的好处。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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