• Mathematics
  • Published 2010

Smoothing and empirical analysis for minimax-portfolio selection problem

@inproceedings{Chen2010SmoothingAE,
  title={Smoothing and empirical analysis for minimax-portfolio selection problem},
  author={Hong Chen},
  year={2010}
}
This paper collects history closing prices of three stocks of Shanghai in a month as the object of study.The minimax model for portfolio selection problem is approximately transformed into a class of differentiable classical optimization model by a smoothing method,and then the error analysis is given in order to take advantage of the improved gradient projection method for optimal portfolio.The results show that this algorithm has a stable operation and draws a relatively precise empirical… CONTINUE READING