search query: @indexterm RISK MEASUREMENT / total: 141
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| Author: | Cai, X. |
| Title: | Portfolio optimization under a minimax rule |
| Journal: | Management Science
2000 : JUL, VOL. 46:7, p. 957-972 |
| Index terms: | PORTFOLIO SELECTION RISK MEASUREMENT LINEAR PROGRAMMING |
| Language: | eng |
| Abstract: | This paper provides a new portfolio selection rule. The objective is to minimize the maximum individual risk and the authors use a risk measure function. The authors provide an explicit analytical solution for the model and are thus able to plot the entire efficient frontier. Their selection rule is very conservative. One of the features of the solution is that it does not explicitly involve the covariance of the asset returns. |
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