IDEAS home Printed from https://ideas.repec.org/a/spr/annopr/v101y2001i1p333-34910.1023-a1010909632198.html
   My bibliography  Save this article

Portfolio Selection Problem with Minimax Type Risk Function

Author

Listed:
  • K.L. Teo
  • X.Q. Yang

Abstract

The investor's preference in risk estimation of portfolio selection problems is important as it influences investment strategies. In this paper a minimax risk criterion is considered. Specifically, the investor aims to restrict the standard deviation for each of the available stocks. The corresponding portfolio optimization problem is formulated as a linear program. Hence it can be implemented easily. A capital asset pricing model between the market portfolio and each individual return for this model is established using nonsmooth optimization methods. Some numerical examples are given to illustrate our approach for the risk estimation. Copyright Kluwer Academic Publishers 2001

Suggested Citation

  • K.L. Teo & X.Q. Yang, 2001. "Portfolio Selection Problem with Minimax Type Risk Function," Annals of Operations Research, Springer, vol. 101(1), pages 333-349, January.
    • Handle: RePEc:spr:annopr:v:101:y:2001:i:1:p:333-349:10.1023/a:1010909632198
    DOI: 10.1023/A:1010909632198
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1023/A:1010909632198
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1023/A:1010909632198?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Fusheng Wang, 2013. "A hybrid algorithm for linearly constrained minimax problems," Annals of Operations Research, Springer, vol. 206(1), pages 501-525, July.
    2. Shuanglin Li & Kok Lay Teo, 2019. "Post-disaster multi-period road network repair: work scheduling and relief logistics optimization," Annals of Operations Research, Springer, vol. 283(1), pages 1345-1385, December.
    3. Yunchol Jong, 2012. "Optimization Method for Interval Portfolio Selection Based on Satisfaction Index of Interval inequality Relation," Papers 1207.1932, arXiv.org.
    4. Polak, George G. & Rogers, David F. & Sweeney, Dennis J., 2010. "Risk management strategies via minimax portfolio optimization," European Journal of Operational Research, Elsevier, vol. 207(1), pages 409-419, November.
    5. Bhuvnesh Sharma & M. Ramkumar & Nachiappan Subramanian & Bharat Malhotra, 2019. "Dynamic temporary blood facility location-allocation during and post-disaster periods," Annals of Operations Research, Springer, vol. 283(1), pages 705-736, December.
    6. He, Guang & Huang, Nan-jing, 2014. "A new particle swarm optimization algorithm with an application," Applied Mathematics and Computation, Elsevier, vol. 232(C), pages 521-528.
    7. X Cai & K L Teo & X Q Yang & X Y Zhou, 2004. "Minimax portfolio optimization: empirical numerical study," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 55(1), pages 65-72, January.
    8. Shrey Jain & Siddhartha P. Chakrabarty, 2020. "Does Marginal VaR Lead to Improved Performance of Managed Portfolios: A Study of S&P BSE 100 and S&P BSE 200," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 27(2), pages 291-323, June.
    9. Esther Mohr & Robert Dochow, 2017. "Risk management strategies for finding universal portfolios," Annals of Operations Research, Springer, vol. 256(1), pages 129-147, September.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:annopr:v:101:y:2001:i:1:p:333-349:10.1023/a:1010909632198. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.