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

100 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

Scopus Link

Cite this

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