Portfolio selection problem with minimax type risk function

DOI10.1023/A:1010909632198zbMath1016.91058OpenAlexW1567533126MaRDI QIDQ5948185

Kok Lay Teo, Xiao Qi Yang

Publication date: 31 October 2001

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1010909632198

zbMATH Keywords

portfolio optimizationcapital asset pricing modelbi-criteria programminimax risk measure

Mathematics Subject Classification ID

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