Optimal portfolio strategy under minimax criterion with constraints

zbMATH Open1274.91386MaRDI QIDQ4926440FDOQ4926440

Authors: Zhilin Kang, Yan Zeng 

Publication date: 20 June 2013

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zbMATH Keywords

numerical exampleoptimal strategy\(l_\infty\) risk measureupper limit of investment

Mathematics Subject Classification ID

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

Cited In (17)

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• Portfolio selection with a minimax measure in safety constraint
• Optimal portfolio choice with wash sale constraints
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• Minimax optimization of investment portfolio by quantile criterion
• Optimal investment strategies with a reallocation constraint
• A minimax portfolio selection and equilibrium price system
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• Maximizing and minimizing investment concentration with constraints of budget and investment risk
• Portfolio Optimization with Combinatorial and Downside Return Constraints
• A minimax portfolio selection strategy with equilibrium
• Multiperiod portfolio selection on a minimax rule
• Portfolio selection problem with minimax type risk function
• Portfolio model and its explicit expressions of portfolio efficient frontier with minimum investment proportion constraint
• Minimax portfolio optimization: empirical numerical study
• Optimal portfolio strategy under rolling economic maximum drawdown constraints

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