Optimality and robustness of a minimax portfolio

DOI10.1080/00207728708967189MaRDI QIDQ3768643zbMATH OpenOpenAlexFDO

Authors J. K. Sengupta

Publication date 1987

Published in International Journal of Systems Science. Principles and Applications of Systems and Integration (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00207728708967189

zbMATH Keywords

minimax investment portfoliominimax risk frontier

Mathematics Subject Classification ID

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Cites work

• A minimax policy for optimal portfolio choice
• scientific article; zbMATH DE number 3662819 (Why is no real title available?)

Cited in

(22)

• Robust min-max portfolio strategies for rival forecast and risk scenarios
• Optimal portfolio strategy under rolling economic maximum drawdown constraints
• Robust multiobjective portfolio optimization: A minimax regret approach
• Minimax quadratic optimization and its application to investment planning
• Minimax optimization of investment portfolio by quantile criterion
• Robust profit opportunities in risky financial portfolios
• Robust worst-case optimal investment
• The dynamic control of risk in optimised portfolios
• scientific article; zbMATH DE number 1617974 (Why is no real title available?)
• Minimum risk portfolios using MMAR
• Portfolio optimization under a minimax rule
• Econometrics of portfolio risk analysis†
• A theory of portfolio revision: robustness and truncation problems
• Continuous min-max approach for single period portfolio selection problem
• Statistically efficient construction of \(a\)-risk-minimizing portfolio
• Minimax portfolio optimization: empirical numerical study
• Entropy and information in portfolio choice
• Portfolio investment based on a mixture of experimental designs
• Portfolio optimization under a minimax rule revisited
• Portfolio selection with a minimax measure in safety constraint
• Distributionally robust portfolio maximization and marginal utility pricing in one period financial markets
• Risk management strategies via minimax portfolio optimization

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