Portfolio optimization under a minimax rule

Xiaoqiang Cai; Kok Lay Teo; Xiaoqi Yang; Xun Yu Zhou

doi:10.1287/mnsc.46.7.957.12039

Portfolio optimization under a minimax rule

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

Research output: Journal article publication › Journal article › Academic research › peer-review

113 Citations (Scopus)

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.

Original language	English
Pages (from-to)	957-972
Number of pages	16
Journal	Management Science
Volume	46
Issue number	7
DOIs	https://doi.org/10.1287/mnsc.46.7.957.12039
Publication status	Published - 1 Jan 2000

ASJC Scopus subject areas

Strategy and Management
Management Science and Operations Research

More information

10.1287/mnsc.46.7.957.12039

Cite this

@article{a0911000dbca42cd83622db81cf984f4,

title = "Portfolio optimization under a minimax rule",

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.",

author = "Xiaoqiang Cai and Teo, {Kok Lay} and Xiaoqi Yang and Zhou, {Xun Yu}",

year = "2000",

month = jan,

day = "1",

doi = "10.1287/mnsc.46.7.957.12039",

language = "English",

volume = "46",

pages = "957--972",

journal = "Management Science",

issn = "0025-1909",

publisher = "INFORMS Institute for Operations Research and the Management Sciences",

number = "7",

}

TY - JOUR

T1 - Portfolio optimization under a minimax rule

AU - Cai, Xiaoqiang

AU - Teo, Kok Lay

AU - Yang, Xiaoqi

AU - Zhou, Xun Yu

PY - 2000/1/1

Y1 - 2000/1/1

N2 - 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.

AB - 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.

UR - http://www.scopus.com/inward/record.url?scp=0034228491&partnerID=8YFLogxK

U2 - 10.1287/mnsc.46.7.957.12039

DO - 10.1287/mnsc.46.7.957.12039

M3 - Journal article

VL - 46

SP - 957

EP - 972

JO - Management Science

JF - Management Science

SN - 0025-1909

IS - 7

ER -

Portfolio optimization under a minimax rule

Abstract

ASJC Scopus subject areas

More information

Other files and links

Fingerprint

Cite this