A Minimax Portfolio Selection Rule with Linear Programming Solution

DOI10.1287/mnsc.44.5.673zbMath0999.91043OpenAlexW2111951371WikidataQ90664781 ScholiaQ90664781MaRDI QIDQ2783965

Martin R. Young

Publication date: 17 April 2002

Published in: Management Science (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2027.42/36296

zbMATH Keywords

linear optimizationvolatilityutility theorymean-variance analysis

Mathematics Subject Classification ID

Minimax problems in mathematical programming (90C47) Linear programming (90C05) Utility theory (91B16) Portfolio theory (91G10)

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