Minimax optimization of investment portfolio by quantile criterion

DOI10.1023/A:1024738302885zbMATH Open1115.91337OpenAlexW1569082533MaRDI QIDQ2487624FDOQ2487624

Authors: E. N. Platonov, K. V. Semenikhin, Alexei R. Pankov 

Publication date: 8 August 2005

Published in: Automation and Remote Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1024738302885

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Mathematics Subject Classification ID

Cited In (15)

• Minimax quadratic optimization and its application to investment planning
• Optimal control of the investment portfolio with respect to the quantile criterion
• Discrete approximation in quantile problem of Portfolio selection
• Data-driven portfolio management with quantile constraints
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• Title not available (Why is that?)
• On the convergence of two sequential Monte Carlo methods for maximum a posteriori sequence estimation and stochastic global optimization
• The decomposition method for two-stage stochastic linear programming problems with quantile criterion
• Fundamentals of the linearization method for quantile analysis with small random parameters
• Two-stage problem of quantile optimization of an investment project
• Quantile portfolio optimization under risk measure constraints
• Minimal investment risk of a portfolio optimization problem with budget and investment concentration constraints
• Control of investment portfolio based on complex quantile risk measures
• A hybrid algorithm for linearly constrained minimax problems
• Guaranteeing solutions of the quadratic programming problem with inexactly assigned parameters and their applications in the investment process

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