Minimax portfolio optimization: empirical numerical study

DOI10.1057/PALGRAVE.JORS.2601648MaRDI QIDQ4661229zbMATH OpenOpenAlexFDO

Authors

Publication date 4 April 2005

Published in The Journal of the Operational Research Society (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1057/palgrave.jors.2601648

zbMATH Keywords

numerical studyportfolio selectionrisk aversion measuresstandard deviationvariance

Mathematics Subject Classification ID

Case-oriented studies in operations research (90B90) Quadratic programming (90C20) Portfolio theory (91G10)

Recommendations

• Optimality and robustness of a minimax portfolio
• Portfolio optimization under a minimax rule
• Optimal portfolios using linear programming models
• Optimal portfolio strategy under minimax criterion with constraints
• Portfolio selection problem with minimax type risk function

Cited in

(7)

• A new particle swarm optimization algorithm with an application
• A modified particle swarm optimization algorithm with applications
• Minimax optimization of investment portfolio by quantile criterion
• scientific article; zbMATH DE number 1617974 (Why is no real title available?)
• Optimality and robustness of a minimax portfolio
• Bayesian learning in dynamic portfolio selection under a minimax rule
• On a local-search heuristic for a class of tracking error minimization problems in portfolio management

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