Portfolio decision analysis with maximin criterion in the Malaysian stock market

Nasruddin Hassan, Lam Weng Siew, Shee Yu Shen

Research output: Contribution to journalArticle

32 Citations (Scopus)

Abstract

The maximin criterion chooses the best alternative among the worst possibilities. In portfolio investment, the portfolio is chosen to maximize the minimum return over all past observation periods for a given level of return. The objective of this paper is to determine the portfolio composition based on maximin principle during the economic crisis in Malaysia from the year 1997 to 2001. The determined selection was found to consist of stocks of different weights. The portfolio mean return is found to be higher than the aspired target return.

Original languageEnglish
Pages (from-to)5483-5486
Number of pages4
JournalApplied Mathematical Sciences
Volume6
Issue number109-112
Publication statusPublished - 2012

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Maximin
Decision Analysis
Decision theory
Stock Market
Economics
Malaysia
Chemical analysis
Choose
Maximise
Target
Alternatives
Financial markets
Crisis
Observation

Keywords

  • LINGO
  • Maximin criterion
  • Minimax model
  • Porfolio composition

ASJC Scopus subject areas

  • Applied Mathematics

Cite this

Hassan, N., Siew, L. W., & Shen, S. Y. (2012). Portfolio decision analysis with maximin criterion in the Malaysian stock market. Applied Mathematical Sciences, 6(109-112), 5483-5486.

Portfolio decision analysis with maximin criterion in the Malaysian stock market. / Hassan, Nasruddin; Siew, Lam Weng; Shen, Shee Yu.

In: Applied Mathematical Sciences, Vol. 6, No. 109-112, 2012, p. 5483-5486.

Research output: Contribution to journalArticle

Hassan, N, Siew, LW & Shen, SY 2012, 'Portfolio decision analysis with maximin criterion in the Malaysian stock market', Applied Mathematical Sciences, vol. 6, no. 109-112, pp. 5483-5486.
Hassan, Nasruddin ; Siew, Lam Weng ; Shen, Shee Yu. / Portfolio decision analysis with maximin criterion in the Malaysian stock market. In: Applied Mathematical Sciences. 2012 ; Vol. 6, No. 109-112. pp. 5483-5486.
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