The Min-Max Portfolio Optimization Strategy: An Empirical Study on Balanced Portfolios.
Claude G. DiderichWolfgang MartyPublished in: NAA (2000)
Keyphrases
- min max
- optimization strategy
- portfolio selection
- portfolio optimization
- transaction costs
- optimization algorithm
- optimal portfolio
- improved algorithm
- multiobjective optimization
- max min
- particle swarm
- investment decisions
- financial markets
- initial solution
- investment strategies
- optimization method
- optimization methods
- special case
- multi objective
- decision making
- robust optimization
- particle swarm optimization pso