A Minimax Portfolio Selection Rule with Linear Programming Solution
A new principle for choosing portfolios based on historical returns data is introduced; the optimal portfolio based on this principle is the solution to a simple linear programming problem. This principle uses minimum return rather than variance as a measure of risk. In particular, the portfolio is...
| Veröffentlicht in: | Management Science. - Institute for Operations Research and the Management Sciences, 1954. - 44(1998), 5, Seite 673-683 |
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| Format: | Online-Aufsatz |
| Sprache: | English |
| Veröffentlicht: |
1998
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| Zugriff auf das übergeordnete Werk: | Management Science |
| Schlagworte: | Mean-Variance Analysis Optimization Utility Theory Volatility Mathematics Economics Applied sciences Information science |
| Online verfügbar |
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