A Minimax Approach to Portfolio Choice
证券选择的极大极小设计方法

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.