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A minimax portfolio selection strategy with equilibrium

Citations

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Cited by:

  1. Masoud Fekri & Babak Barazandeh, 2019. "Designing an Optimal Portfolio for Iran's Stock Market with Genetic Algorithm using Neural Network Prediction of Risk and Return Stocks," Papers 1903.06632, arXiv.org.
  2. Malavasi, Matteo & Ortobelli Lozza, Sergio & Trück, Stefan, 2021. "Second order of stochastic dominance efficiency vs mean variance efficiency," European Journal of Operational Research, Elsevier, vol. 290(3), pages 1192-1206.
  3. Tadeusz Antczak & Najeeb Abdulaleem, 2021. "E-differentiable minimax programming under E-convexity," Annals of Operations Research, Springer, vol. 300(1), pages 1-22, May.
  4. Kellerer, Belinda, 2019. "Portfolio Optimization and Ambiguity Aversion," Junior Management Science (JUMS), Junior Management Science e. V., vol. 4(3), pages 305-338.
  5. Nikolay Andreev, 2019. "Robust Portfolio Optimization in an Illiquid Market in Discrete-Time," Mathematics, MDPI, vol. 7(12), pages 1-16, November.
  6. Cinzia Colapinto & Raja Jayaraman & Simone Marsiglio, 2017. "Multi-criteria decision analysis with goal programming in engineering, management and social sciences: a state-of-the art review," Annals of Operations Research, Springer, vol. 251(1), pages 7-40, April.
  7. Huang, Xiaoxia, 2008. "Portfolio selection with a new definition of risk," European Journal of Operational Research, Elsevier, vol. 186(1), pages 351-357, April.
  8. Smimou, K., 2014. "International portfolio choice and political instability risk: A multi-objective approach," European Journal of Operational Research, Elsevier, vol. 234(2), pages 546-560.
  9. Esther Mohr & Robert Dochow, 2017. "Risk management strategies for finding universal portfolios," Annals of Operations Research, Springer, vol. 256(1), pages 129-147, September.
  10. Huang, Xiaoxia, 2007. "Two new models for portfolio selection with stochastic returns taking fuzzy information," European Journal of Operational Research, Elsevier, vol. 180(1), pages 396-405, July.
  11. Cinzia Colapinto & Davide Torre & Belaid Aouni, 2019. "Goal programming for financial portfolio management: a state-of-the-art review," Operational Research, Springer, vol. 19(3), pages 717-736, September.
  12. Xiaoxia Huang & Xuting Wang, 2019. "Portfolio Investment with Options Based on Uncertainty Theory," International Journal of Information Technology & Decision Making (IJITDM), World Scientific Publishing Co. Pte. Ltd., vol. 18(03), pages 929-952, May.
  13. Pınar, Mustafa Ç., 2014. "Equilibrium in an ambiguity-averse mean–variance investors market," European Journal of Operational Research, Elsevier, vol. 237(3), pages 957-965.
  14. Aouni, Belaid & Colapinto, Cinzia & La Torre, Davide, 2014. "Financial portfolio management through the goal programming model: Current state-of-the-art," European Journal of Operational Research, Elsevier, vol. 234(2), pages 536-545.
  15. Gumsong Jo & Hyokil Kim & Hoyong Kim & Gyongho Ri, 2024. "Fuzzy Portfolio Selection Using Stochastic Correlation," Computational Economics, Springer;Society for Computational Economics, vol. 63(4), pages 1493-1509, April.
  16. Buckley, Winston S. & Brown, Garfield O. & Marshall, Mario, 2012. "A mispricing model of stocks under asymmetric information," European Journal of Operational Research, Elsevier, vol. 221(3), pages 584-592.
  17. Bhuvnesh Sharma & M. Ramkumar & Nachiappan Subramanian & Bharat Malhotra, 2019. "Dynamic temporary blood facility location-allocation during and post-disaster periods," Annals of Operations Research, Springer, vol. 283(1), pages 705-736, December.
  18. Jianjian Wang & Feng He & Xin Shi, 2019. "Numerical solution of a general interval quadratic programming model for portfolio selection," PLOS ONE, Public Library of Science, vol. 14(3), pages 1-16, March.
  19. Xiaoxian Ma & Qingzhen Zhao & Jilin Qu, 2008. "Robust portfolio optimization with a generalized expected utility model under ambiguity," Annals of Finance, Springer, vol. 4(4), pages 431-444, October.
  20. Lin Chen & Jin Peng & Bo Zhang & Isnaini Rosyida, 2017. "Diversified models for portfolio selection based on uncertain semivariance," International Journal of Systems Science, Taylor & Francis Journals, vol. 48(3), pages 637-648, February.
  21. Liu, Yong-Jun & Zhang, Wei-Guo, 2013. "Fuzzy portfolio optimization model under real constraints," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 704-711.
  22. Wei Chen, 2009. "Weighted portfolio selection models based on possibility theory," Fuzzy Information and Engineering, Springer, vol. 1(2), pages 115-127, June.
  23. Limei Yan, 2009. "Optimal Portfolio Selection Models with Uncertain Returns," Modern Applied Science, Canadian Center of Science and Education, vol. 3(8), pages 1-76, August.
  24. Levy, Haim & Levy, Moshe, 2014. "The benefits of differential variance-based constraints in portfolio optimization," European Journal of Operational Research, Elsevier, vol. 234(2), pages 372-381.
  25. Nikolay A. Andreev, 2015. "Worst-Case Approach To Strategic Optimal Portfolio Selection Under Transaction Costs And Trading Limits," HSE Working papers WP BRP 45/FE/2015, National Research University Higher School of Economics.
  26. Akhter Mohiuddin Rather, 2012. "Portfolio selection using mean-risk model and mean-risk diversification model," International Journal of Operational Research, Inderscience Enterprises Ltd, vol. 14(3), pages 324-342.
  27. Todor Stoilov & Krasimira Stoilova & Miroslav Vladimirov, 2021. "Explicit Value at Risk Goal Function in Bi-Level Portfolio Problem for Financial Sustainability," Sustainability, MDPI, vol. 13(4), pages 1-14, February.
  28. Nikolay A Andreev, 2017. "Boundedness of the Value Function of the Worst-Case Portfolio Selection Problem with Linear Constraints," HSE Working papers WP BRP 59/FE/2017, National Research University Higher School of Economics.
  29. Zhilin Kang & Zhongfei Li, 2018. "An exact solution to a robust portfolio choice problem with multiple risk measures under ambiguous distribution," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 87(2), pages 169-195, April.
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