Abstract
Minimax optimization with a quadratic criterion and linear equality- and inequality-type constraints is investigated. The minimax solution is expressed in general form. Sufficient conditions for the minimax solution to be uniquely determined by the solution of the dual problem are formulated. The results are applied to construct an investment portfolio having guaranteed characteristics under a priori statistical uncertainty.
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Pankov, A.R., Platonov, E.N. & Semenikhin, K.V. Minimax Quadratic Optimization and Its Application to Investment Planning. Automation and Remote Control 62, 1978–1995 (2001). https://doi.org/10.1023/A:1013768310715
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DOI: https://doi.org/10.1023/A:1013768310715