Article ID: | iaor20012381 |
Country: | United States |
Volume: | 46 |
Issue: | 7 |
Start Page Number: | 957 |
End Page Number: | 972 |
Publication Date: | Jul 2000 |
Journal: | Management Science |
Authors: | Zhou Xun Yu, Cai Xiaoqiang, Teo Kok-Lay, Yang Xiaoqi |
Keywords: | financial, investment, optimization |
This paper provides a new portfolio selection rule. The objective is to minimize the maximum individual risk and we use an