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.
Original language | English |
---|---|
Pages (from-to) | 333-349 |
Number of pages | 17 |
Journal | Annals of Operations Research |
Volume | 101 |
Issue number | 1-4 |
DOIs | |
Publication status | Published - 1 Jan 2001 |
Keywords
- Bi-criteria program
- Capital asset pricing model
- Minimax risk measure
- Portfolio optimization
ASJC Scopus subject areas
- Decision Sciences(all)
- Management Science and Operations Research