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

See all articles by Alexey Karpovich

Alexey Karpovich

Novosibirsk State Technical University (NSTU)

Alexander Rymanov

Russian Academy of National Economy and Public Administration under the President of the Russian Federation (RANEPA) - Siberian Institute of Management

Date Written: August 10, 2018

Abstract

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

Karpovich, Alexey and Rymanov, Alexander, Portfolio Mean-Variance Approach Modifications: Modulus Function, Principles of Compromise, and 'Min-Max' Approach (August 10, 2018). 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, Available at SSRN: https://ssrn.com/abstract=3416135

Alexey Karpovich

Novosibirsk State Technical University (NSTU) ( email )

20, Karl Marks prospekt
Novosibirsk, 630073
Russia

Alexander Rymanov (Contact Author)

Russian Academy of National Economy and Public Administration under the President of the Russian Federation (RANEPA) - Siberian Institute of Management ( email )

6 Nizhniy Novgorod Street
Novosibirsk, 630102
Russia

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