%0 Journal Article
%T A Minimax Approach to Portfolio Choice<br>证券选择的极大极小设计方法
%A ZHENG Li-hui
%A ZHANG Jing-tian
%A BAO Xin-zhong
%A <br>郑立辉
%A 张兢田
%A 鲍新中
%J 系统工程理论与实践
%D 2000
%I 
%X In the framework of modern financial theory, the concept and method of minimax design (or worst\|case optimization) are proposed for the problem of portfolio choice. Under the assumption of complete financial markets, we prove the existence of the portfolio that optimizes the worst\|case rate of return, and provide a method to derive the optimal minimax return rate and the corresponding optimal portfolio. Finally we discuss some properties of the portfolio choice method with several examples.
%K portfolio selection
%K worst\|case optimization
%K financial engineering<br>证券选择
%K 最差情况最优化
%K 金融工程
%U http://www.alljournals.cn/get_abstract_url.aspx?pcid=01BA20E8BA813E1908F3698710BBFEFEE816345F465FEBA5&cid=962324E222C1AC1D&jid=1D057D9E7CAD6BEE9FA97306E08E48D3&aid=D570D00B48C14FCA&yid=9806D0D4EAA9BED3&vid=A04140E723CB732E&iid=0B39A22176CE99FB&sid=B6DA1AC076E37400&eid=987EDA49D8A7A635&journal_id=1000-6788&journal_name=系统工程理论与实践&referenced_num=2&reference_num=0