Portfolio optimization under a minimax rule revisited
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Publication:5077157
Recommendations
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Cites work
- 60 years of portfolio optimization: practical challenges and current trends
- A minimax portfolio selection rule with linear programming solution
- An analytical derivation of the efficient surface in portfolio selection with three criteria
- Coherent measures of risk
- Combining multiple criteria analysis, mathematical programming and Monte Carlo simulation to tackle uncertainty in research and development project portfolio selection: a case study from Greece
- Convex Analysis
- Downside risk approach for multi-objective portfolio optimization
- From stochastic dominance to mean-risk models: Semideviations as risk measures
- Generalized deviations in risk analysis
- Multicriteria Optimization
- PIECEWISE LINEAR RISK FUNCTION AND PORTFOLIO OPTIMIZATION
- Portfolio optimization under a minimax rule
- Portfolio selection under uncertainty: a new methodology for computing relative‐robust solutions
- Robust multiperiod portfolio management in the presence of transaction costs
- Variational Analysis
Cited in
(12)- Minimax rule for energy optimization
- Pareto efficient buy and hold investment strategies under order book linked constraints
- Minimax optimization of investment portfolio by quantile criterion
- scientific article; zbMATH DE number 1617974 (Why is no real title available?)
- Portfolio optimization based on bi-objective linear programming
- Lipschitz-like property for linear constraint systems
- Lower bound estimation for a family of high-dimensional sparse covariance matrices
- Portfolio selection balancing concentration and diversification
- A minimum variance approach to multivariate linear regression with application to actuarial problems
- On the convergence of conditional gradient method for unbounded multiobjective optimization problems
- Bayesian learning in dynamic portfolio selection under a minimax rule
- On the sensitivity of some portfolio optimization models using interval analysis
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