A minimax rule for portfolio selection in frictional markets

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	A minimax rule for portfolio selection in frictional markets
	Wang, SY ; Yamamoto, Y ; Yu, M
	2003-04-01
发表期刊	MATHEMATICAL METHODS OF OPERATIONS RESEARCH
ISSN	1432-2994
卷号	57 期号:1 页码:141-155
摘要	In 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.
关键词	portfolio selection optimization minimax risk measure
语种	英语
WOS研究方向	Operations Research & Management Science ; Mathematics
WOS类目	Operations Research & Management Science ; Mathematics, Applied
WOS记录号	WOS:000182446800011
出版者	PHYSICA-VERLAG GMBH & CO
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/18774
专题	中国科学院数学与系统科学研究院
通讯作者	Wang, SY
作者单位	1.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
推荐引用方式 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.