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 paper › Conference paper › peer-review

Original language	English
Title of host publication	Proceedings of the 35th IEEE Conference of Decision and Control
Editors	M. Pashkin
Place of Publication	Japan
Publisher	Institute for Electrical and Electronic Engineers
Pages	3682-3687
Volume	1
Edition	Kobe, Japan
ISBN (Print)	07803
Publication status	Published - 1996
Event	Portfolio optimization under L-infinity risk measure - Kobe, Japan Duration: 1 Jan 1996 → …

Conference	Portfolio optimization under L-infinity risk measure
Period	1/01/96 → …

Cite this

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title = "Portfolio optimization under L-infinity risk measure",

author = "X.Q. Cai and K.L. Teo and X.Q. Yang and X.Z. Zhou",

year = "1996",

language = "English",

isbn = "07803",

volume = "1",

pages = "3682--3687",

editor = "M. Pashkin",

booktitle = "Proceedings of the 35th IEEE Conference of Decision and Control",

publisher = "Institute for Electrical and Electronic Engineers",

edition = "Kobe, Japan",

note = "Portfolio optimization under L-infinity risk measure ; Conference date: 01-01-1996",

}

TY - GEN

T1 - Portfolio optimization under L-infinity risk measure

AU - Cai, X.Q.

AU - Teo, K.L.

AU - Yang, X.Q.

AU - Zhou, X.Z.

PY - 1996

Y1 - 1996

M3 - Conference paper

SN - 07803

VL - 1

SP - 3682

EP - 3687

BT - Proceedings of the 35th IEEE Conference of Decision and Control

A2 - Pashkin, M.

PB - Institute for Electrical and Electronic Engineers

CY - Japan

T2 - Portfolio optimization under L-infinity risk measure

Y2 - 1 January 1996

ER -