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Optimality and robustness of a minimax portfolio. (English) Zbl 0631.90004

A class of minimax investment portfolio which minimizes the maximum of suitably-defined risk is analysed theoretically and its relation to Markowitz efficient portfolios is evaluated. It is shown that minimax portfolios possess some robustness properties not shared by Markowitz efficient portfolios. An empirical application of the minimax risk frontier over Jensen’s data set shows its superiority in explanatory power and robustness.

MSC:

91B28 Finance etc. (MSC2000)
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References:

[1] BAWA V. S., Estimation Risk and Optimal Portfolio Choice (1979) · Zbl 0425.90001
[2] DOI: 10.2307/2978596 · doi:10.2307/2978596
[3] DOI: 10.2307/2325404 · doi:10.2307/2325404
[4] DOI: 10.2307/1924119 · doi:10.2307/1924119
[5] DOI: 10.1080/00207728208926329 · Zbl 0471.90015 · doi:10.1080/00207728208926329
[6] DOI: 10.1080/00036848500000058 · doi:10.1080/00036848500000058
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