Multiperiod portfolio selection on a minimax rule

MaRDI QIDQ3371141zbMATH OpenFDO

Authors Mei Yu, Kin Keung Lai, Xiuli Chao, Shouyang Wang

Publication date 21 February 2006

zbMATH Keywords

dynamic programmingmultiperiod portfolio selection

Mathematics Subject Classification ID

Dynamic programming (90C39) Portfolio theory (91G10) Minimax problems in mathematical programming (90C47)

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(13)

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• Continuous min-max approach for single period portfolio selection problem
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• Optimal investment policy in the time consistent mean-variance formulation
• Dynamic optimal portfolio with maximum absolute deviation model
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• A minimax rule for portfolio selection in frictional markets
• A new fuzzy programming approach for multi-period portfolio optimization with return demand and risk control
• Optimal portfolio selection for general provisioning and terminal wealth problems
• Portfolio selection problem with minimax type risk function
• A minimax portfolio selection rule with linear programming solution

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