Portfolio optimization under L-infinity risk measure

X.Q. Cai, K.L. Teo, X.Q. Yang, X.Z. Zhou

    Research output: Chapter in Book/Conference paperConference paper

    Original languageEnglish
    Title of host publicationProceedings of the 35th IEEE Conference of Decision and Control
    EditorsM. Pashkin
    Place of PublicationJapan
    PublisherInstitute for Electrical and Electronic Engineers
    Pages3682-3687
    Volume1
    EditionKobe, Japan
    ISBN (Print)07803
    Publication statusPublished - 1996
    EventPortfolio optimization under L-infinity risk measure - Kobe, Japan
    Duration: 1 Jan 1996 → …

    Conference

    ConferencePortfolio optimization under L-infinity risk measure
    Period1/01/96 → …

    Cite this

    Cai, X. Q., Teo, K. L., Yang, X. Q., & Zhou, X. Z. (1996). Portfolio optimization under L-infinity risk measure. In M. Pashkin (Ed.), Proceedings of the 35th IEEE Conference of Decision and Control (Kobe, Japan ed., Vol. 1, pp. 3682-3687). Japan: Institute for Electrical and Electronic Engineers.