Risk management in multi-objective portfolio optimization under uncertainty

Yannick Becker, Pascal Halffmann and Anita Sch\"obel

Papers from arXiv.org

Abstract: 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.

Date: 2024-07
New Economics Papers: this item is included in nep-ifn and nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2407.19936

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