A minimax portfolio selection strategy with equilibrium

被引：90

作者：

Deng, XT

Li, ZF ^{[1
]}

Wang, SY

机构：

[1] Sun Yat Sen Univ, Lingnan Univ Coll, Dept Finance, Guangzhou 510275, Peoples R China

[2] City Univ Hong Kong, Dept Comp Sci, Kowloon, Hong Kong, Peoples R China

[3] Chinese Acad Sci, Inst Syst Sci, Acad Math & Syst Sci, Beijing 100080, Peoples R China

来源：

EUROPEAN JOURNAL OF OPERATIONAL RESEARCH | 2005年 / 166卷 / 01期

基金：

中国国家自然科学基金;

关键词：

uncertainty modelling; portfolio selection; optimization; equilibrium;

D O I：

10.1016/j.ejor.2004.01.040

中图分类号：

C93 [管理学];

学科分类号：

12 ; 1201 ; 1202 ; 120202 ;

摘要：

A new minimax model on optimal portfolio selection with uncertainty of both randomness and estimation in inputs is established and the corresponding optimal portfolio is derived analytically. Based on this result, a sufficient condition for the existence and uniqueness of a nonnegative equilibrium price system under which the total demand and supply of each asset are equal is provided and an explicit formula for such a price system is obtained. Furthermore, some properties of the equilibrium are discussed. (c) 2004 Elsevier B.V. All rights reserved.

引用

页码：278 / 292

页数：15

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