A portfolio model based on the minimax risk and return factors

Based on the analysis of minimax portfolio selection model proposed by Yong, a new risk function is designed with risk factor and extra return factor. The risk factor is used to adjust the effect of asset return level on the investment decision, and the extra return factor is for controlling the effect of portfolio promising profits on the investment decision. Furthermore, a portfolio selection model is proposed based on the new risk measure. The model is solved by transforming it into a linear programming model. By experiments with actual data of the stock market, this proposed model shows its effectiveness and practicability.