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A minimax rule for portfolio selection in frictional markets
Wang, SY; Yamamoto, Y; Yu, M
2003-04-01
Source PublicationMATHEMATICAL METHODS OF OPERATIONS RESEARCH
ISSN1432-2994
Volume57Issue:1Pages:141-155
AbstractIn this paper, an optimal portfolio selection problem is formulated as a minimax problem in which tax and dividend are associated with transactions. The corresponding optimal portfolio is derived respectively in the market with and without riskless asset. Furthermore, the relation and main difference between this minimax principal and the classical M-V model as well as the existing two minimax models are discussed.
Keywordportfolio selection optimization minimax risk measure
Language英语
WOS Research AreaOperations Research & Management Science ; Mathematics
WOS SubjectOperations Research & Management Science ; Mathematics, Applied
WOS IDWOS:000182446800011
PublisherPHYSICA-VERLAG GMBH & CO
Citation statistics
Cited Times:7[WOS]   [WOS Record]     [Related Records in WOS]
Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/18774
Collection中国科学院数学与系统科学研究院
Affiliation1.Chinese Acad Sci, Inst Syst Sci, Acad Math & Syst Sci, Beijing 100080, Peoples R China
2.Univ Tsukuba, Inst Policy & Planning Sci, Tsukuba, Ibaraki 3058573, Japan
Recommended Citation
GB/T 7714
Wang, SY,Yamamoto, Y,Yu, M. A minimax rule for portfolio selection in frictional markets[J]. MATHEMATICAL METHODS OF OPERATIONS RESEARCH,2003,57(1):141-155.
APA Wang, SY,Yamamoto, Y,&Yu, M.(2003).A minimax rule for portfolio selection in frictional markets.MATHEMATICAL METHODS OF OPERATIONS RESEARCH,57(1),141-155.
MLA Wang, SY,et al."A minimax rule for portfolio selection in frictional markets".MATHEMATICAL METHODS OF OPERATIONS RESEARCH 57.1(2003):141-155.
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