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Portfolio Selection under Maximum Minimum Criterion

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  • Yuanyao Ding

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  • Yuanyao Ding, 2006. "Portfolio Selection under Maximum Minimum Criterion," Quality & Quantity: International Journal of Methodology, Springer, vol. 40(3), pages 457-468, June.
    • Handle: RePEc:spr:qualqt:v:40:y:2006:i:3:p:457-468
    DOI: 10.1007/s11135-005-1054-0
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    References listed on IDEAS

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    1. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
    2. Duan Li & Wan‐Lung Ng, 2000. "Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation," Mathematical Finance, Wiley Blackwell, vol. 10(3), pages 387-406, July.
    3. Martin R. Young, 1998. "A Minimax Portfolio Selection Rule with Linear Programming Solution," Management Science, INFORMS, vol. 44(5), pages 673-683, May.
    4. Gerold Studer, 1999. "Risk measurement with maximum loss," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 50(1), pages 121-134, August.
    5. William F. Sharpe, 1963. "A Simplified Model for Portfolio Analysis," Management Science, INFORMS, vol. 9(2), pages 277-293, January.
    6. Fishburn, Peter C, 1977. "Mean-Risk Analysis with Risk Associated with Below-Target Returns," American Economic Review, American Economic Association, vol. 67(2), pages 116-126, March.
    7. Arzac, Enrique R. & Bawa, Vijay S., 1977. "Portfolio choice and equilibrium in capital markets with safety-first investors," Journal of Financial Economics, Elsevier, vol. 4(3), pages 277-288, May.
    8. Hiroshi Konno & Hiroaki Yamazaki, 1991. "Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market," Management Science, INFORMS, vol. 37(5), pages 519-531, May.
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    Cited by:

    1. Salih Çam, 2023. "Asset Allocation with Combined Models Based on Game-Theory Approach and Markov Chain Models," EKOIST Journal of Econometrics and Statistics, Istanbul University, Faculty of Economics, vol. 0(39), pages 26-36, December.
    2. Stefania Corsaro & Valentina De Simone & Zelda Marino & Salvatore Scognamiglio, 2024. "Learning fused lasso parameters in portfolio selection via neural networks," Quality & Quantity: International Journal of Methodology, Springer, vol. 58(5), pages 4281-4299, October.
    3. Polak, George G. & Rogers, David F. & Sweeney, Dennis J., 2010. "Risk management strategies via minimax portfolio optimization," European Journal of Operational Research, Elsevier, vol. 207(1), pages 409-419, November.

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