Minimax portfolio optimization: Empirical numerical study

Journal of the Operational Research Society

Volumn 55, Issue 1, 2004, Pages 65-72

  Cai, X ^a   Teo, K L ^b   Yang, X Q ^b   Zhou, X Y ^a  

^a CHINESE UNIVERSITY OF HONG KONG   (Hong Kong)

^b HONG KONG POLYTECHNIC UNIVERSITY   (Hong Kong)

Author keywords

Numerical study; Portfolio selection; Risk aversion measures; Standard deviation; Variance

Indexed keywords

ALGORITHMS; COMPUTATIONAL METHODS; MATHEMATICAL MODELS; OPTIMIZATION; PROBLEM SOLVING; PUBLIC RISKS; QUADRATIC PROGRAMMING;

PORTFOLIO SELECTION; RISK AVERSION MEASURES; STANDARD DEVIATION; VARIANCE;

OPERATIONS RESEARCH;

EID: 2442474213     PISSN: 01605682     EISSN: None     Source Type: Journal    
DOI: 10.1057/palgrave.jors.2601648     Document Type: Article

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