We present a continuous minimax model for robust portfolio optimization based on worst-case analysis. The classical Markowitz framework is extended to continuous minimax with upper and lower bounds on the return scenarios and a discrete number of rival risk scenarios. The model integrates...

In this paper, we introduce a mixed integer stochastic programming approach to mean-variance post-tax portfolio management. This approach takes into account of risk in a multistage setting and allows general withdrawals from original capital. The uncertainty on asset returns is specified as a...

A robust minimax approach for optimal investment decisions with imprecise return forecasts and risk estimations in financial portfolio management is considered. Single-period and multi-period mean-variance optimization models are extended to worst-case design with multiple rival risk estimations...