Portfolio Optimization Under a Minimax Rule
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References listed on IDEAS
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- Yu, Bosco Wing-Tong & Pang, Wan Kai & Troutt, Marvin D. & Hou, Shui Hung, 2009. "Objective comparisons of the optimal portfolios corresponding to different utility functions," European Journal of Operational Research, Elsevier, vol. 199(2), pages 604-610, December.
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Keywordsportfolio selection; risk averse measures; bicriteria piecewise linear program; efficient frontier; kuhn-tucker conditions;
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