Portfolio selection problem with minimax type risk function

被引:49
作者
Teo, KL [1 ]
Yang, XQ [1 ]
机构
[1] Hong Kong Polytech Univ, Dept Appl Math, Kowloon, Hong Kong, Peoples R China
关键词
portfolio optimization; minimax risk measure; bi-criteria program; capital asset pricing model;
D O I
10.1023/A:1010909632198
中图分类号
C93 [管理学]; O22 [运筹学];
学科分类号
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要
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.
引用
收藏
页码:333 / 349
页数:17
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