Portfolio optimization under a minimax rule

Portfolio optimization under a minimax rule

0.00 Avg rating0 Votes
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: , , ,
Keywords: financial, investment, optimization
Abstract:

This paper provides a new portfolio selection rule. The objective is to minimize the maximum individual risk and we use an l 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.

Reviews

Required fields are marked *. Your email address will not be published.