Continuous Min-Max Approach for Single Period Portfolio Selection Problem

Nalan Gülpmar and Berç Rustem

Chapter Chapter 12 in Numerical Methods in Finance, 2005, pp 241-258 from Springer

Abstract: Abstract In this chapter, we introduce continuous min-max approach for single period portfolio selection problem. The min-max optimization is performed over various single-period scenarios of risk and a return range, relative to benchmark. The optimal investment strategy is obtained using robust worst-case analysis. This evaluates the portfolio corresponding to the best performance, simultaneously with the worst-case. Therefore, the resulting strategy is robust in that it has the best lower bound performance which can only improve if any scenario, other than the worst-case, is realized.

Keywords: Portfolio Selection; Investment Strategy; Risk Scenario; Optimal Investment Strategy; Robust Portfolio (search for similar items in EconPapers)
Date: 2005
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-0-387-25118-9_12

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DOI: 10.1007/0-387-25118-9_12

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