A minimax rule for portfolio selection in frictional markets.

Shouyang Wang Yoshitsugu Yamamoto Mei Yu

Published in: Math. Methods Oper. Res. (2003)

Keyphrases

decision makers
portfolio selection
financial markets
decision support system
multistage stochastic
portfolio optimization
portfolio management
risk management
robust optimization
multiple objectives
optimal portfolio
stock market
worst case
association rules
stock price
transaction costs
multi objective
long term