Risk management strategies via minimax portfolio optimization
From MaRDI portal
Publication:992622
DOI10.1016/J.EJOR.2010.04.025zbMATH Open1205.91091OpenAlexW2069942651MaRDI QIDQ992622FDOQ992622
Authors: George G. Polak, David F. Rogers, Dennis J. Sweeney 
Publication date: 9 September 2010
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2010.04.025
Recommendations
- Optimal portfolio strategy under minimax criterion with constraints
- Optimality and robustness of a minimax portfolio
- Portfolio selection problem with minimax type risk function
- Portfolio selection with a minimax measure in safety constraint
- A minimax portfolio selection rule with linear programming solution
Portfolio theory (91G10) Special problems of linear programming (transportation, multi-index, data envelopment analysis, etc.) (90C08)
Cites Work
- Maxmin expected utility with non-unique prior
- Prospect Theory: An Analysis of Decision under Risk
- Minimum-cost portfolio insurance
- The cheapest hedge.
- Conditional value at risk and related linear programming models for portfolio optimization
- Worst-case robust decisions for multi-period mean-variance portfolio optimization
- LP solvable models for portfolio optimization: a classification and computational comparison
- Uncertainty and Risk in Financial Markets
- A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem
- A minimax portfolio selection rule with linear programming solution
- Title not available (Why is that?)
- Multiple criteria linear programming model for portfolio selection
- Optimal investments for risk- and ambiguity-averse preferences: a duality approach
- Title not available (Why is that?)
- Monotone continuous multiple priors
- PIECEWISE LINEAR RISK FUNCTION AND PORTFOLIO OPTIMIZATION
- Portfolio optimization under a minimax rule
- Portfolio selection problem with minimax type risk function
- The optimal portfolio problem with coherent risk measure constraints.
- Computational methods in portfolio insurance
- Decision making with imprecise probabilistic information
- Multi-period stochastic portfolio optimization: block-separable decomposition
Cited In (23)
- Title not available (Why is that?)
- Portfolio selection based on extended Gini shortfall risk measures
- Does marginal VaR lead to improved performance of managed portfolios: a study of S\&P BSE 100 and S\&P BSE 200
- 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
- A Goal Programming Model with Satisfaction Function for Risk Management and Optimal Portfolio Diversification
- Portfolio optimization using a new probabilistic risk measure
Uses Software
This page was built for publication: Risk management strategies via minimax portfolio optimization
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q992622)
