A minimax rule for portfolio selection in frictional markets

DOI10.1007/S001860200241MaRDI QIDQ1395151zbMATHOpenAlexFDO

Authors Shouyang Wang, Yoshitsugu Yamamoto, Mei Yu

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)

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