Portfolio Optimization Under a Minimax Rule

By Xiaoqiang CaiKok-Lay. 2000

61 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/dd34c214206b7236fbb00dc6a9038450186d7a3f

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

1. Hanqing Jin
2. Xun Yu Zhou
3. Jia-An Yan
4. Zhiping Chen
5. Yi Wang
6. Peter A. Forsyth
7. Elena Vigna
8. Huyen Pham

Citations in the corpus

• Two-sided coherent risk measures and their application in realistic portfolio optimization (2008, background): “In respect of risk measurement, the expectation of suitable order of lower tail losses is useful for describing the investor’s degree of risk aversion, taking higher order losses is also helpful for controlling fat tails in the loss distribution (Chen and Wang, 2007).”
• Continuous-time mean–risk portfolio selection (2005, background): “On the other hand, in a sing financial market, other risk measures have also been proposed and studied, including VaR [9], mean– deviation [12], and minimax measure [2].”