Utilizing risk minimization for portfolio management

DOI10.1016/0895-7177(92)90006-7MaRDI QIDQ1197075zbMATH OpenOpenAlexFDO

Authors A. Menéndez, Bruce R. Feiring

Publication date 16 January 1993

Published in Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0895-7177(92)90006-7

zbMATH Keywords

Lagrange multipliersportfolio risk minimization

Mathematics Subject Classification ID

Applications of mathematical programming (90C90)

Recommendations

• Risk management strategies via minimax portfolio optimization
• Risk minimization through portfolio replication
• Shortfall minimizing portfolios
• Risk sensitive portfolio optimization
• Risk and utility in portfolio optimization
• Portfolio optimization based on value-at-risk
• Minimum risk portfolios using MMAR
• Risk-constrained dynamic portfolio management

Cited in

(3)

• Risk minimization in multi-factor portfolios: what is the best strategy?
• Linear programming and its application techniques in optimizing portfolio selection of a firm
• Risk minimization through portfolio replication

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