  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.

Portfolio Management