Portfolio Optimization Under a Minimax Rule

This paper provides a new portfolio selection rule. The objective is to minimize the maximum individual risk and we use an l ∞ function as the risk measure. We provide an explicit analytical solution for the model and are thus able to plot the entire efficient frontier. Our selection rule is very conservative. One of the features of the solution is that it does not explicitly involve the covariance of the asset returns.

• 저널Management Science · 46(7) · 957–972
• 토픽Risk and Portfolio Optimization · Management Science and Operations Research
• DOI10.1287/mnsc.46.7.957.12039
• 저자Xiaoqiang Cai, Kok Lay Teo, Xiaoqi Yang, Xun Yu Zhou