A minimax rule for portfolio selection in frictional markets

DOI10.1007/S001860200241zbMATH Open1049.91088OpenAlexW2093341720MaRDI QIDQ1395151FDOQ1395151

Shouyang Wang, Mei Yu, Yoshitsugu Yamamoto

Publication date: 26 June 2003

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s001860200241

zbMATH Keywords

optimizationminimax risk measure

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cited In (4)

• \(E\)-differentiable minimax programming under \(E\)-convexity
• A proximal-projection partial bundle method for convex constrained minimax problems
• A note on a minimax rule for portfolio selection and equilibrium price system
• Title not available (Why is that?)

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