A Minimax Portfolio Selection Rule with Linear Programming Solution
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Publication:2783965
DOI10.1287/mnsc.44.5.673zbMath0999.91043OpenAlexW2111951371WikidataQ90664781 ScholiaQ90664781MaRDI QIDQ2783965
Publication date: 17 April 2002
Published in: Management Science (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/2027.42/36296
Minimax problems in mathematical programming (90C47) Linear programming (90C05) Utility theory (91B16) Portfolio theory (91G10)
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