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Smoothing and empirical analysis for minimax-portfolio selection problem

Lü Pin1,GAO Yan1,HONG Chen2(1.Business School,University of Shanghai for Science and Technology,Shanghai 200093,China;2.School of Finance and Statistics,East China Normal University,Shanghai 200241,China)  
This paper collects history closing prices of three stocks of Shanghai in a month as the object of study.The minimax model for portfolio selection problem is approximately transformed into a class of differentiable classical optimization model by a smoothing method,and then the error analysis is given in order to take advantage of the improved gradient projection method for optimal portfolio.The results show that this algorithm has a stable operation and draws a relatively precise empirical result.
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