A minimax portfolio selection strategy with equilibrium

DOI10.1016/j.ejor.2004.01.040zbMath1066.91039OpenAlexW2095287175MaRDI QIDQ1779559

Zhong-Fei Li, Xiaotie Deng, Shou-Yang Wang

Publication date: 1 June 2005

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2004.01.040

zbMATH Keywords

optimization equilibrium uncertainty modelling portfolio selection

Mathematics Subject Classification ID

Minimax problems in mathematical programming (90C47) Other game-theoretic models (91A40) Portfolio theory (91G10)

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Cites Work

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