Portfolio optimization under a minimax rule
From MaRDI portal
Recommendations
Cited in
(65)- 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
- Mean-variance models for portfolio selection with fuzzy random returns
- Penalty algorithm based on conjugate gradient method for solving portfolio management problem
- Dynamic portfolio optimization with risk control for absolute deviation model
- Objective comparisons of the optimal portfolios corresponding to different utility functions
- A minimax rule for portfolio selection in frictional markets
- 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
- Minimax rule for energy optimization
- Risk management strategies for finding universal portfolios
- Mean-risk portfolio management with bankruptcy prohibition
- A minimax portfolio selection strategy with equilibrium
- A nonlinear interval portfolio selection model and its application in banks
- A portfolio optimization model based on information entropy and fuzzy time series
- Optimal strategies in equity securities and derivatives
- Portfolio optimization model with transaction costs.
- Uncertain portfolio optimization problem under a minimax risk measure
- An optimistic value-variance-entropy model of uncertain portfolio optimization problem under different risk preferences
- Convergence of inexact quasisubgradient methods with extrapolation
- An analytic solution for multi-period uncertain portfolio selection problem
- Solving mean-VaR portfolio selection model with interval-typed random parameter using interval analysis
- A globally convergent QP-free algorithm for inequality constrained minimax optimization
- A multi-period fuzzy mean-minimax risk portfolio model with investor's risk attitude
- Sparse minimax portfolio and Sharpe ratio models
- CVaR-based robust models for portfolio selection
- Does marginal VaR lead to improved performance of managed portfolios: a study of S\&P BSE 100 and S\&P BSE 200
- Portfolio optimization using a new probabilistic risk measure
- Mean-variance optimal trading problem subject to stochastic dominance constraints with second order autoregressive price dynamics
- A modified particle swarm optimization algorithm with applications
- Credibilitic mean-variance model for multi-period portfolio selection problem with risk control
- Minimax optimization of investment portfolio by quantile criterion
- scientific article; zbMATH DE number 1617974 (Why is no real title available?)
- A minimax portfolio selection rule with linear programming solution
- Tangency portfolios in the lp solvable portfolio selection models
- Multiperiod portfolio selection on a minimax rule
- A derivative-free approximate gradient sampling algorithm for finite minimax problems
- DYNAMIC PORTFOLIO SELECTION WITH UNCERTAINTY
- Optimality and robustness of a minimax portfolio
- Substitution secant/finite difference method to large sparse minimax problems
- Dynamic optimal portfolio with maximum absolute deviation model
- Minimax portfolio optimization: empirical numerical study
- Optimal portfolio strategy under minimax criterion with constraints
- Group update method for sparse minimax problems
- scientific article; zbMATH DE number 1419405 (Why is no real title available?)
- Portfolio optimization under a minimax rule revisited
- A generalized gradient projection method based on a new working set for minimax optimization problems with inequality constraints
- On solving large-scale finite minimax problems using exponential smoothing
- Portfolio selection with a minimax measure in safety constraint
- A SSLE-Type Algorithm of Quasi-Strongly Sub-Feasible Directions for Inequality Constrained Minimax Problems
- Portfolio selection problem with minimax type risk function
- Structure and weak sharp minimum of the Pareto solution set for piecewise linear multiobjective optimization
- Lipschitz-like property for linear constraint systems
- A Portfolio Selection Methodology Based on Data Envelopment Analysis
- Globalized distributionally robust optimization based on samples
- Portfolio selection balancing concentration and diversification
- Bayesian learning in dynamic portfolio selection under a minimax rule
- A new smoothing function technique for solving minimax problems
- A chance-constrained portfolio selection model with risk constraints
- An algorithm for portfolio selection in a frictional market
- Two new models for portfolio selection with stochastic returns taking fuzzy information
- A computational intelligence method for solving a class of portfolio optimization problems
- Dual representations for convex risk measures via conjugate duality
- Risk management strategies via minimax portfolio optimization
This page was built for publication: Portfolio optimization under a minimax rule
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3116770)
