Risk management strategies via minimax portfolio optimization

European Journal of Operational Research

Volumn 207, Issue 1, 2010, Pages 409-419

  Polak, George G ^a   Rogers, David F ^b   Sweeney, Dennis J ^b  

^a WRIGHT STATE UNIVERSITY   (United States)

^b UNIVERSITY OF CINCINNATI   (United States)

Author keywords

Investment analysis; Knightian uncertainty; Linear programming; Risk analysis; Risk management

Indexed keywords

ECONOMIC DEVELOPMENT; EFFICIENT FRONTIER; EXPECTED VALUES; INVESTMENT ANALYSIS; KNIGHTIAN UNCERTAINTY; LINEAR PROGRAMMING MODELS; MINIMAX; MODEL PROPERTIES; MODEL RESULTS; PARAMETRIC ANALYSIS; PORTFOLIO OPTIMIZATION; PRIOR DISTRIBUTION; RISK ATTITUDE; RISK MANAGEMENT STRATEGIES; RISK PREFERENCE; RISK THRESHOLD; WORST CASE SCENARIO;

ECONOMICS; FINANCIAL DATA PROCESSING; IMAGE SEGMENTATION; INVESTMENTS; LINEAR PROGRAMMING; LINEARIZATION; OPTIMIZATION; RISK ANALYSIS; RISK MANAGEMENT; SAFETY FACTOR; UNCERTAINTY ANALYSIS;

RISK ASSESSMENT;

EID: 77953873067     PISSN: 03772217     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ejor.2010.04.025     Document Type: Article

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