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  4. Risk management in multi-objective portfolio optimization under uncertainty
 
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July 29, 2024
Paper (Preprint, Research Paper, Review Paper, White Paper, etc.)
Title

Risk management in multi-objective portfolio optimization under uncertainty

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.
Author(s)
Becker, Yannick
Fraunhofer-Institut für Techno- und Wirtschaftsmathematik ITWM  
Halffmann, Pascal
Fraunhofer-Institut für Techno- und Wirtschaftsmathematik ITWM  
Schöbel, Anita  
Fraunhofer-Institut für Techno- und Wirtschaftsmathematik ITWM  
DOI
10.48550/arXiv.2407.19936
Language
English
Fraunhofer-Institut für Techno- und Wirtschaftsmathematik ITWM  
Keyword(s)
  • Multi-objective optimization

  • Uncertainty

  • Robustness

  • Portfolio optimization

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