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.
ASJC Scopus subject areas
- Strategy and Management
- Management Science and Operations Research