Portfolio Optimization Under a Minimax Rule
提出一种新的投资组合选择规则，以最小化最大个体风险为目标，使用l∞函数作为风险度量，并给出显式解析解，可绘制完整有效前沿。该规则非常保守，且解不显式涉及资产收益的协方差。
This paper provides a new portfolio selection rule. The objective is to minimize the maximum individual risk and we use an l ∞ function as the risk measure. We provide an explicit analytical solution for the model and are thus able to plot the entire efficient frontier. Our 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.