Continuous min-max approach for single period portfolio selection problem

zbMATH Open1126.91366MaRDI QIDQ3365826FDOQ3365826

Authors: Nalân Gülpinar, Berç Rustem 

Publication date: 13 February 2006

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• scientific article; zbMATH DE number 2065136

zbMATH Keywords

robustworst-case analysisoptimal investment strategy

Mathematics Subject Classification ID

Portfolio theory (91G10) Minimax problems in mathematical programming (90C47)

Cited In (1)

• Robust min-max portfolio strategies for rival forecast and risk scenarios

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