Portfolio Optimization Under a Minimax Rule

Department of Systems Engineering and Engineering Management,The Chinese University of Hong Kong, Shatin, N.T., Hong KongDepartment of Applied Mathematics, The Hong Kong Polytechnic University, Kowloon, Hong KongDepartment of Applied Mathematics, The Hong Kong Polytechnic University, Kowloon, Hong KongDepartment of Systems Engineering and Engineering Management,The Chinese University of Hong Kong, Shatin, N.T., Hong Kongxqcai@se.cuhk.edu.hk