A note on a minimax rule for portfolio selection and equilibrium price system

DOI10.1016/j.amc.2008.11.013zbMath1157.91376OpenAlexW2027940290MaRDI QIDQ1004157

Ying-Ying Xu, Xue-Feng Song, Zhu-Wu Wu, Kun Liu

Publication date: 2 March 2009

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2008.11.013

zbMATH Keywords

optimizationportfolio selectionefficient frontierminimax modelmaximum entropy algorithm

Mathematics Subject Classification ID

General equilibrium theory (91B50) Portfolio theory (91G10)

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Stochastic programming technique for portfolio optimization with minimax risk and bounded parameters ⋮ A maximum entropy method for a robust portfolio problem ⋮ Equilibrium in an ambiguity-averse mean-variance investors market ⋮ A copula entropy approach to correlation measurement at the country level

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