Continuous min-max approach for single period portfolio selection problem

MaRDI QIDQ3365826zbMATH OpenFDO

Authors Nalân Gülpinar, Berç Rustem

Publication date 13 February 2006

zbMATH Keywords

robustworst-case analysisoptimal investment strategy

Mathematics Subject Classification ID

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

Recommendations

• Robust min-max portfolio strategies for rival forecast and risk scenarios
• A worst-case approach to continuous-time portfolio optimisation
• Multiperiod portfolio selection on a minimax rule
• Optimality and robustness of a minimax portfolio
• scientific article; zbMATH DE number 2065136

Cited in

(1)

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

This page was built for publication: Continuous min-max approach for single period portfolio selection problem

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3365826)