Risk management strategies via minimax portfolio optimization
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Recommendations
- Optimal portfolio strategy under minimax criterion with constraints
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Cites work
- scientific article; zbMATH DE number 3825556 (Why is no real title available?)
- scientific article; zbMATH DE number 2061975 (Why is no real title available?)
- A minimax portfolio selection rule with linear programming solution
- A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem
- Computational methods in portfolio insurance
- Conditional value at risk and related linear programming models for portfolio optimization
- Decision making with imprecise probabilistic information
- LP solvable models for portfolio optimization: a classification and computational comparison
- Maxmin expected utility with non-unique prior
- Minimum-cost portfolio insurance
- Monotone continuous multiple priors
- Multi-period stochastic portfolio optimization: block-separable decomposition
- Multiple criteria linear programming model for portfolio selection
- Optimal investments for risk- and ambiguity-averse preferences: a duality approach
- PIECEWISE LINEAR RISK FUNCTION AND PORTFOLIO OPTIMIZATION
- Portfolio optimization under a minimax rule
- Portfolio selection problem with minimax type risk function
- Prospect Theory: An Analysis of Decision under Risk
- The cheapest hedge.
- The optimal portfolio problem with coherent risk measure constraints.
- Uncertainty and Risk in Financial Markets
- Worst-case robust decisions for multi-period mean-variance portfolio optimization
Cited in
(23)- Does marginal VaR lead to improved performance of managed portfolios: a study of S\&P BSE 100 and S\&P BSE 200
- scientific article; zbMATH DE number 1834580 (Why is no real title available?)
- Portfolio selection based on extended Gini shortfall risk measures
- Portfolio selection with a minimax measure in safety constraint
- Optimal portfolio strategy under minimax criterion with constraints
- Risk minimization in multi-factor portfolios: what is the best strategy?
- Risk minimization through portfolio replication
- Utilizing risk minimization for portfolio management
- Risk management strategies for finding universal portfolios
- A generalized neural network for solving a class of minimax optimization problems with linear constraints
- Uncertain portfolio optimization problem under a minimax risk measure
- Optimality and robustness of a minimax portfolio
- Portfolio optimization with \(pw\)-robustness
- BENCHMARKED RISK MINIMIZATION
- Robust optimal decisions with imprecise forecasts
- Robust and Pareto optimality of insurance contracts
- Budget-constrained optimal reinsurance design under coherent risk measures
- Non-dominated sorting genetic algorithm-II for possibilistic mean-semiabsolute deviation-Yager entropy portfolio model with complex real-world constraints
- Optimal strategies for government securities portfolio management taking into account propensity to risk
- Portfolio selection problem with minimax type risk function
- A new portfolio selection model with interval-typed random variables and the empirical analysis
- Portfolio optimization using a new probabilistic risk measure
- A Goal Programming Model with Satisfaction Function for Risk Management and Optimal Portfolio Diversification
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