Portfolio optimization under a minimax rule

Management Science

Volumn 46, Issue 7, 2000, Pages 957-972

  Cai, Xiaoqiang ^a   Teo, Kok Lay ^a   Yang, Xiaoqi ^a   Zhou, Xun Yu ^a  

^a NONE

Author keywords

[No Author keywords available]

Indexed keywords

MATHEMATICAL MODELS; OPTIMIZATION; PIECEWISE LINEAR TECHNIQUES;

KUHN-TUCKER CONDITIONS; PORTFOLIO SELECTION;

RISK MANAGEMENT;

EID: 0034228491     PISSN: 00251909     EISSN: None     Source Type: Journal    
DOI: 10.1287/mnsc.46.7.957.12039     Document Type: Article

References (16)

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