Portfolio selection with a minimax measure in safety constraint
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Publication:5746727
DOI10.1080/02331934.2013.854361zbMath1282.91309MaRDI QIDQ5746727
Publication date: 7 February 2014
Published in: Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/02331934.2013.854361
portfolio optimization; minimax model; augmented \(\epsilon\)-constraint method; in-sample and out-of-sample analysis; mean-absolute semideviation model; ratio optimization problem; S\&P CNX Nifty index
90C47: Minimax problems in mathematical programming
90C05: Linear programming
91G10: Portfolio theory
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