A minimax portfolio selection rule with linear programming solution
From MaRDI portal
Recommendations
Cited in
(94)- A note on a minimax rule for portfolio selection and equilibrium price system
- Portfolio choice and optimal hedging with general risk functions: a simplex-like algorithm
- Models and simulations for portfolio rebalancing
- The optimal portfolio problem with coherent risk measure constraints.
- Heuristics for cardinality constrained portfolio optimization
- ALM models based on second order stochastic dominance
- Artificial bee colony algorithm for constrained possibilistic portfolio optimization problem
- Asymmetric \(\nu\)-tube support vector regression
- Stochastic programming technique for portfolio optimization with minimax risk and bounded parameters
- A new particle swarm optimization algorithm with an application
- Mixed integer linear programming models for optimal crop selection
- Optimal privatization portfolios in the presence of arbitrary risk aversion
- Approximating exact expected utility via portfolio efficient frontiers
- Is certainty in carbon policy better than uncertainty?
- Risk management strategies for finding universal portfolios
- Financial analysis based sectoral portfolio optimization under second order stochastic dominance
- Analysis of long-term natural gas contracts with vine copulas in optimization portfolio problems
- A minimax portfolio selection strategy with equilibrium
- On the impact of conditional expectation estimators in portfolio theory
- A nonlinear interval portfolio selection model and its application in banks
- Using linear programming to seek the optimum combination of investment
- Post-tax optimization with stochastic programming
- A mispricing model of stocks under asymmetric information
- Local smooth representations of parametric semiclosed polyhedra with applications to sensitivity in piecewise linear programs
- A review of deterministic optimization methods in engineering and management
- Worst-case analysis of Gini mean difference safety measure
- Second order of stochastic dominance efficiency vs mean variance efficiency
- Individual and cooperative portfolio optimization as linear program
- Modeling returns volatility: realized GARCH incorporating realized risk measure
- Portfolio optimization of financial commodities with energy futures
- Sparse minimax portfolio and Sharpe ratio models
- Acceptability maximization
- Linear models for portfolio selection with real features
- Does marginal VaR lead to improved performance of managed portfolios: a study of S\&P BSE 100 and S\&P BSE 200
- Linear programming and its application techniques in optimizing portfolio selection of a firm
- The optimal statistical median of a convex set of arrays
- Omega-CVaR portfolio optimization and its worst case analysis
- Portfolio-optimization models for small investors
- Convex relaxations and MIQCQP reformulations for a class of cardinality-constrained portfolio selection problems
- Enhanced indexing for risk averse investors using relaxed second order stochastic dominance
- A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem
- A modified particle swarm optimization algorithm with applications
- A mixed R{\&}D projects and securities portfolio selection model
- A distributed computation algorithm for solving portfolio problems with integer variables
- Risk-neutral valuation with infinitely many trading dates
- Conditional value at risk and related linear programming models for portfolio optimization
- Single period selection of portfolio models for the small investor
- Mean-variance portfolio optimization with parameter sensitivity control
- A maximum entropy method for a robust portfolio problem
- Mean absolute negative deviation measure for portfolio selection problem
- On dual approaches to efficient optimization of LP computable risk measures for portfolio selection
- Portfolio optimization under a minimax rule
- Tangency portfolios in the lp solvable portfolio selection models
- Replica approach to mean-variance portfolio optimization
- Multiperiod portfolio selection on a minimax rule
- A study on a kind of linear programming methods in portfolio selection
- Mean-absolute deviation portfolio optimization problem
- A branch-and-bound algorithm for discrete multi-factor portfolio optimization model
- Instability of portfolio optimization under coherent risk measures
- An exact algorithm for factor model in portfolio selection with roundlot constraints
- scientific article; zbMATH DE number 5630815 (Why is no real title available?)
- On Conditional Value-at-Risk Based Goal Programming Portfolio Selection Procedure
- Fuzzy portfolio selection problem with different borrowing and lending rates
- Minimizing loss probability bounds for portfolio selection
- Portfolio optimization under expected shortfall: contour maps of estimation error
- DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION
- Optimal portfolios using linear programming models
- A primal-dual aggregation algorithm for minimizing conditional value-at-risk in linear programs
- PVaR: a new risk measure for financial investments
- Distributionally robust portfolio optimization with linearized STARR performance measure
- Portfolio optimization under a minimax rule revisited
- Upside beta ratio: a performance measure for potential-seeking investors
- Scenario Generation for Single-Period Portfolio Selection Problems with Tail Risk Measures: Coping with High Dimensions and Integer Variables
- Fuzzy portfolio optimization with tax, transaction cost and investment amount: a developing country case
- Comparing the small-sample estimation error of conceptually different risk measures
- Extended omega ratio optimization for risk-averse investors
- An algebraic approach to integer portfolio problems
- Higher moment coherent risk measures
- THE PROPER USE OF RISK MEASURES IN PORTFOLIO THEORY
- Portfolio selection with a minimax measure in safety constraint
- Maximum Entropy Bi-Objective Model and its Evolutionary Algorithm for Portfolio Optimization
- Portfolio selection problem with minimax type risk function
- Silvopastoral and agroforestry systems: an integer linear programming model for investment decisions
- Portfolio optimization through a network approach: network assortative mixing and portfolio diversification
- Portfolio optimization with \(pw\)-robustness
- Efficient optimization of the reward-risk ratio with polyhedral risk measures
- A novel global algorithm for optimal portfolio selection with maximum relative marginal risk via SCO method and SOCP relaxation
- Enhanced index tracking with CVaR-based ratio measures
- Newsvendor solutions via conditional value-at-risk minimization
- A computational intelligence method for solving a class of portfolio optimization problems
- Cardinality constrained portfolio selection problem: a completely positive programming approach
- Polyhedral coherent risk measures and investment portfolio optimization
- Risk management strategies via minimax portfolio optimization
- Robust portfolios: contributions from operations research and finance
This page was built for publication: A minimax portfolio selection rule with linear programming solution
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2783965)