Technical Appendix: Robust Asset Allocation with Benchmarked Objectives
4 Pages Posted: 30 Sep 2009
Date Written: September 11, 2009
References and equations in this note are consistent with those in the main paper.
Keywords: ambiguity, model uncertainty, relative performance measure, relative regret, regret, robust portfolio selection, robust control, convex duality, Bayesian models
JEL Classification: D81, G11, C51
Suggested Citation: Suggested Citation