Stochastic programming technique for portfolio optimization with minimax risk and bounded parameters
From MaRDI portal
Publication:1628291
DOI10.1007/s12046-018-0902-2zbMath1402.90106OpenAlexW2884849637WikidataQ129473989 ScholiaQ129473989MaRDI QIDQ1628291
U. C. Gupta, Pankaj Kumar, Geetanjali Panda
Publication date: 4 December 2018
Published in: Sādhanā (Search for Journal in Brave)
Full work available at URL: https://www.ias.ac.in/describe/article/sadh/043/09/0149
Stochastic programming (90C15) Financial applications of other theories (91G80) Portfolio theory (91G10)
Related Items
Solving mean-VaR portfolio selection model with interval-typed random parameter using interval analysis, Optimality and duality for \(E\)-minimax fractional programming: application to multiobjective optimization
Cites Work
- The mean-absolute deviation portfolio selection problem with interval-valued returns
- Portfolio adjusting optimization with added assets and transaction costs based on credibility measures
- Solving nonlinear interval optimization problem using stochastic programming technique
- Portfolio adjusting optimization under credibility measures
- An algorithm for optimal portfolio selection problem with transaction costs and random lifetimes
- Equilibrium relations in a capital asset market: A mean absolute deviation approach
- A note on a minimax rule for portfolio selection and equilibrium price system
- Calculus for interval functions of a real variable
- Variance vs downside risk: Is there really that much difference?
- Portfolio selection problem with interval coefficients
- A measure of risk and a decision-making model based on expected utility and entropy
- A minimax portfolio selection strategy with equilibrium
- On interval portfolio selection problem
- Portfolio rebalancing model with transaction costs using interval optimization
- Portfolio rebalancing model with transaction costs based on fuzzy decision theory
- An interval portfolio selection problem based on regret function
- An interval linear programming approach for portfolio selection model
- A Minimax Portfolio Selection Rule with Linear Programming Solution
- Portfolio Optimization Under a Minimax Rule
- A MEAN-VARIANCE-SKEWNESS PORTFOLIO OPTIMIZATION MODEL
- Portfolio selection with a minimax measure in safety constraint
- Selecting portfolios with fixed costs and minimum transaction lots
- Portfolio optimization problem under concave transaction costs and minimal transaction unit constraints
- Portfolio selection problem with minimax type risk function