Portfolio optimization under a minimax rule revisited-Reference-Cited by-同舟云学术

Portfolio optimization under a minimax rule revisited

Published:2021-05-29 Issue: Volume: Page:1-29
ISSN:0233-1934
Container-title:Optimization
language:en
Short-container-title:Optimization

Author:

Meng Kaiwen¹,Yang Hongyu¹,Yang Xiaoqi²,Wai Yu Carisa Kwok³

Affiliation:

1. School of Economic Mathematics, and Fintech Innovation Center Southwestern University of Finance and Economics, Chengdu, People's Republic of China

2. Department of Applied Mathematics, The Hong Kong Polytechnic University, Kowloon, Hong Kong

3. Department of Mathematics, Statistics and Insurance, The Hang Seng University of Hong Kong, Shatin, Hong Kong

Funder

National Natural Science Foundation of China

Fundamental Research Funds for the Central Universities

Scientific Research Fund of Sichuan Provincial Science and Technology Department

Research Grants Council of Hong Kong

Research Grants Council of the Hong Kong Special Administrative Region, China

Publisher

Informa UK Limited

Subject

Applied Mathematics,Management Science and Operations Research,Control and Optimization

Link

https://www.tandfonline.com/doi/pdf/10.1080/02331934.2021.1928665

Reference27 articles.

1. Portfolio Selection

2. An Analytic Derivation of the Efficient Portfolio Frontier

3. Robust multiperiod portfolio management in the presence of transaction costs

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