Portfolio Optimization Under a Minimax Rule

This paper provides a new portfolio selection rule. The objective is to minimize the maximum individual risk and we use an l<sub>\infty </sub> function as the risk measure. We provide an explicit analytical solution for the model and are thus able to plot the entire efficient frontier. Our selection rule is very conservative. One of the features of the solution is that it does not explicitly involve the covariance of the asset returns.

MoreLess

Year of publication:	2000
Authors:	Cai, Xiaoqiang ; Teo, Kok-Lay ; Yang, Xiaoqi ; Zhou, Xun Yu
Published in:	Management Science. - Institute for Operations Research and the Management Sciences - INFORMS, ISSN 0025-1909. - Vol. 46.2000, 7, p. 957-972
Publisher:	Institute for Operations Research and the Management Sciences - INFORMS
Subject:	portfolio selection \| risk averse measures \| bicriteria piecewise linear program \| efficient frontier \| kuhn-tucker conditions

Online Resource

Check full text access |

More access options

Check Google Scholar

In libraries world-wide (WorldCat)

In German libraries (KVK)

subito order

I need help

More details

Extent:	application/pdf
Type of publication:	Article
Other identifiers:	10.1287/mnsc.46.7.957.12039 [DOI]
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009204350