Optimality and robustness of a minimax portfolio

DOI10.1080/00207728708967189zbMATH Open0631.90004OpenAlexW2014000581MaRDI QIDQ3768643FDOQ3768643

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

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zbMATH Keywords

minimax investment portfoliominimax risk frontier

Mathematics Subject Classification ID

Cites Work

• Title not available (Why is that?)
• A minimax policy for optimal portfolio choice

Cited In (14)

• Robust min-max portfolio strategies for rival forecast and risk scenarios
• A theory of portfolio revision: robustness and truncation problems
• Minimax quadratic optimization and its application to investment planning
• Econometrics of portfolio risk analysis†
• Continuous min-max approach for single period portfolio selection problem
• Minimax optimization of investment portfolio by quantile criterion
• Robust profit opportunities in risky financial portfolios
• Distributionally robust portfolio maximization and marginal utility pricing in one period financial markets
• Robust worst-case optimal investment
• Title not available (Why is that?)
• Entropy and information in portfolio choice
• The dynamic control of risk in optimised portfolios
• Minimax portfolio optimization: empirical numerical study
• Optimal portfolio strategy under rolling economic maximum drawdown constraints

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