A note on a minimax rule for portfolio selection and equilibrium price system.

Zhu-Wu Wu Xue-Feng Song Ying-Ying Xu Kun Liu

Published in: Appl. Math. Comput. (2009)

Keyphrases

portfolio selection
multistage stochastic
portfolio optimization
portfolio management
financial markets
transaction costs
data mining
nash equilibrium
game theory
multiple objectives
optimal portfolio
robust optimization