Cai, Xiaoqiang; Teo, Kok-Lay; Yang, Xiaoqi; Zhou, Xun Yu - In: Management Science 46 (2000) 7, pp. 957-972
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...
