Portfolio Mean-Variance Approach Modifications: Modulus Function, Principles of Compromise, and 'Min-Max' Approach
Karpovich A., Rymanov A. 2018. Portfolio mean-variance approach modifications: Modulus function, principles of compromise, and 'min-max' approach. Current Science. 2018. 115 (3). 493-498. doi: 10.18520/cs/v115/i3/493-498
6 Pages Posted: 10 Jul 2019
Date Written: August 10, 2018
We offer a variant for the problem of portfolio selection, based on the modification of the quadratic function. It reduces overestimation of the contribution of large deviations of the market condition from the expected return. Further, we examine the modified "min-max" approach to portfolio structure. We obtain the analytical expressions to solve the portfolio selection model for a few cases. Finally, we offer certain compromise principles between criterial values of the expected return/risk.
Keywords: mean-variance, ‘min–max’ approach, modern portfolio theory, portfolio selection
JEL Classification: G11, G30
Suggested Citation: Suggested Citation