Portfolio selection with a minimax measure in safety constraint
From MaRDI portal
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
Related Items
Extended omega ratio optimization for risk‐averse investors, Optimization Methods in Mathematical Finance, Stochastic programming technique for portfolio optimization with minimax risk and bounded parameters, Financial analysis based sectoral portfolio optimization under second order stochastic dominance, Does marginal VaR lead to improved performance of managed portfolios: a study of S\&P BSE 100 and S\&P BSE 200
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Portfolio rebalancing model using multiple criteria
- Effective implementation of the \(\varepsilon \)-constraint method in multi-objective mathematical programming problems
- A mean-absolute deviation-skewness portfolio optimization model
- Multiple criteria decision making combined with finance: a categorized bibliographic study.
- An MCDM approach to portfolio optimization.
- From stochastic dominance to mean-risk models: Semideviations as risk measures
- Conditional value at risk and related linear programming models for portfolio optimization
- Extending the MAD portfolio optimization model to incorporate downside risk aversion
- Coherent Measures of Risk
- A Minimax Portfolio Selection Rule with Linear Programming Solution
- Portfolio construction on the Athens Stock Exchange: a multiobjective optimization approach
- Stochastic Dominance and Expected Utility: Survey and Analysis
- LP solvable models for portfolio optimization: a classification and computational comparison
- Mean-risk models using two risk measures: a multi-objective approach
- Safety First and the Holding of Assets
