Minimax portfolio optimization: empirical numerical study-Reference-Cited by-同舟云学术

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Minimax portfolio optimization: empirical numerical study

Published:2004-01 Issue:1 Volume:55 Page:65-72
ISSN:0160-5682
Container-title:Journal of the Operational Research Society
language:en
Short-container-title:Journal of the Operational Research Society

Author:

Cai X¹,Teo K L²,Yang X Q²,Zhou X Y¹

Affiliation:

1. The Chinese University of Hong Kong Shatin NT Hong Kong

2. The Hong Kong Polytechnic University Kowloon Hong Kong

Publisher

Informa UK Limited

Subject

Marketing,Management Science and Operations Research,Strategy and Management,Management Information Systems

Link

http://link.springer.com/content/pdf/10.1057/palgrave.jors.2601648.pdf

Reference21 articles.

1. Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market

2. Portfolio Optimization Under a Minimax Rule

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