Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/26490
Title: Portfolio Selection Problem with Minimax Type Risk Function
Authors: Teo, KL
Yang, XQ 
Keywords: Bi-criteria program
Capital asset pricing model
Minimax risk measure
Portfolio optimization
Issue Date: 2001
Publisher: Springer
Source: Annals of operations research, 2001, v. 101, no. 1-4, p. 333-349 How to cite?
Journal: Annals of operations research 
Abstract: The investor's preference in risk estimation of portfolio selection problems is important as it influences investment strategies. In this paper a minimax risk criterion is considered. Specifically, the investor aims to restrict the standard deviation for each of the available stocks. The corresponding portfolio optimization problem is formulated as a linear program. Hence it can be implemented easily. A capital asset pricing model between the market portfolio and each individual return for this model is established using nonsmooth optimization methods. Some numerical examples are given to illustrate our approach for the risk estimation.
URI: http://hdl.handle.net/10397/26490
ISSN: 0254-5330
EISSN: 1572-9338
DOI: 10.1023/A:1010909632198
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