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Analysis : minimax portfolio choice based on pessimistic decision making

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lecturer
Level
General public
Study
management
School/University
Leeds

About the document

Published date
Language
documents in English
Format
Word
Type
book reviews
Pages
1 page
Level
General public
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  1. Objective of the paper
  2. Techniques and methods used in the computations

This paper entails the analysis of the article ?Minimax: Portfolio Choice Based on Pessimistic Decision Making,? by Steffen Schaarschmidt and Peter Schanbacher. The objective of the paper was to propose a strategy on fund allocation for an investor who is highly risk-averse. The fund allocation strategy was to be based on a pessimistic decision making process for the construction of four major classes of assets.

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