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Continuous Min-Max Approach for Single Period Portfolio Selection Problem

In: Numerical Methods in Finance

Author

Listed:
  • Nalan Gülpmar
  • Berç Rustem

Abstract

In this chapter, we introduce continuous min-max approach for single period portfolio selection problem. The min-max optimization is performed over various single-period scenarios of risk and a return range, relative to benchmark. The optimal investment strategy is obtained using robust worst-case analysis. This evaluates the portfolio corresponding to the best performance, simultaneously with the worst-case. Therefore, the resulting strategy is robust in that it has the best lower bound performance which can only improve if any scenario, other than the worst-case, is realized.

Suggested Citation

  • Nalan Gülpmar & Berç Rustem, 2005. "Continuous Min-Max Approach for Single Period Portfolio Selection Problem," Springer Books, in: Michèle Breton & Hatem Ben-Ameur (ed.), Numerical Methods in Finance, chapter 0, pages 241-258, Springer.
    • Handle: RePEc:spr:sprchp:978-0-387-25118-9_12
    DOI: 10.1007/0-387-25118-9_12
    as

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