Portfolio optimization under a minimax rule revisited

DOI10.1080/02331934.2021.1928665zbMath1489.91237OpenAlexW3167607603MaRDI QIDQ5077157

Hongyu Yang, Kaiwen Meng, Carisa Kwok Wai Yu, Xiao Qi Yang

Publication date: 18 May 2022

Published in: Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331934.2021.1928665

zbMATH Keywords

portfolio selectionbi-criteria optimizationdeviation measurerisk parity

Mathematics Subject Classification ID

Multi-objective and goal programming (90C29) Portfolio theory (91G10)

Related Items (2)

Lipschitz-like property for linear constraint systems ⋮ Lower bound estimation for a family of high-dimensional sparse covariance matrices

Cites Work

• From stochastic dominance to mean-risk models: Semideviations as risk measures
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• PIECEWISE LINEAR RISK FUNCTION AND PORTFOLIO OPTIMIZATION
• Variational Analysis
• Downside Risk Approach for Multi-Objective Portfolio Optimization
• Multicriteria Optimization
• Convex Analysis
• Portfolio selection under uncertainty: a new methodology for computing relative‐robust solutions

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