Minimax portfolio optimization: Empirical numerical study
In this paper, we carry out the empirical numerical study of the l ∞ portfolio selection model where the objective is to minimize the maximum individual risk. We compare the numerical performance of this model with that of the Markowitz's quadratic programming model by using real data from the...
| Main Authors: | , , , |
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| Format: | Journal article |
| Language: | English |
| Published: |
2004
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