Portfolio Mean-Variance Approach Modifications : Modulus Function, Principles of Compromise, and 'Min-Max' Approach

We offer a variant for the problem of portfolio selection, based on the modification of the quadratic function. It reduces overestimation of the contribution of large deviations of the market condition from the expected return. Further, we examine the modified "min-max" approach to portfolio structure. We obtain the analytical expressions to solve the portfolio selection model for a few cases. Finally, we offer certain compromise principles between criterial values of the expected return/risk