Portfolio selection with a minimax measure in safety constraint

DOI10.1080/02331934.2013.854361zbMath1282.91309OpenAlexW2018985315MaRDI QIDQ5746727

Aparna Mehra, Amita Sharma

Publication date: 7 February 2014

Published in: Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331934.2013.854361

zbMATH Keywords

portfolio optimizationminimax modelaugmented \(\epsilon\)-constraint methodin-sample and out-of-sample analysismean-absolute semideviation modelratio optimization problemS\&P CNX Nifty index

Mathematics Subject Classification ID

Minimax problems in mathematical programming (90C47) Linear programming (90C05) Portfolio theory (91G10)

Related Items (5)

Extended omega ratio optimization for risk‐averse investors ⋮ Stochastic programming technique for portfolio optimization with minimax risk and bounded parameters ⋮ Financial analysis based sectoral portfolio optimization under second order stochastic dominance ⋮ Does marginal VaR lead to improved performance of managed portfolios: a study of S\&P BSE 100 and S\&P BSE 200 ⋮ Optimization Methods in Mathematical Finance

Uses Software

• GAMS

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