Portfolio selection with a minimax measure in safety constraint (Q5746727)

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scientific article; zbMATH DE number 6256420
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Portfolio selection with a minimax measure in safety constraint
scientific article; zbMATH DE number 6256420

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    Portfolio selection with a minimax measure in safety constraint (English)
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    7 February 2014
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    portfolio optimization
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    mean-absolute semideviation model
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    minimax model
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    ratio optimization problem
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    augmented \(\epsilon\)-constraint method
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    in-sample and out-of-sample analysis
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    S\&P CNX Nifty index
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