Portfolio Optimization Under a Minimax Rule

By Xiaoqiang Cai, Kok Lay Teo, Xiaoqi Yang, Xun Yu Zhou. 2000

103 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/efa9e84003411768f5b7d2ff4962fcb1b1408825

How researchers see this paper

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

In Finance

1. Yankui Liu
2. Zhiping Chen
3. Yi Wang
4. Fang-Fang Hao

In Management Science and Operations Research

1. Yankui Liu
2. Zhiping Chen
3. Yi Wang
4. Fang-Fang Hao

Citations in the corpus

• Mean-variance models for portfolio selection with fuzzy random returns (2009, methodology): “Following Markowitz’s work, a number of portfolio selection models have been proposed in stochastic environment such as chance-constrained programming model [2, 3], mean-absolute deviation model [4, 5], mean-lower-partial moments model [6], minimax models [ 7 , 8] and various mean-variance models [9”
• Two-sided coherent risk measures and their application in realistic portfolio optimization (2008, background): “This risk measure posses properties of absolute deviation (AD) (Konno and Yamazaki, 1991), semivariance and maximum loss (Cai et al., 2000) risk measures.”