A minimax portfolio selection strategy with equilibrium

doi:10.1016/j.ejor.2004.01.040

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	A minimax portfolio selection strategy with equilibrium
	Deng, XT ; Li, ZF ; Wang, SY
	2005-10-01
发表期刊	EUROPEAN JOURNAL OF OPERATIONAL RESEARCH
ISSN	0377-2217
卷号	166 期号:1 页码:278-292
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.
关键词	uncertainty modelling portfolio selection optimization equilibrium
DOI	10.1016/j.ejor.2004.01.040
语种	英语
WOS研究方向	Business & Economics ; Operations Research & Management Science
WOS类目	Management ; Operations Research & Management Science
WOS记录号	WOS:000228513800020
出版者	ELSEVIER SCIENCE BV
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/2355
专题	中国科学院数学与系统科学研究院
通讯作者	Li, ZF
作者单位	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
推荐引用方式 GB/T 7714	Deng, XT,Li, ZF,Wang, SY. A minimax portfolio selection strategy with equilibrium[J]. EUROPEAN JOURNAL OF OPERATIONAL RESEARCH,2005,166(1):278-292.
APA	Deng, XT,Li, ZF,&Wang, SY.(2005).A minimax portfolio selection strategy with equilibrium.EUROPEAN JOURNAL OF OPERATIONAL RESEARCH,166(1),278-292.
MLA	Deng, XT,et al."A minimax portfolio selection strategy with equilibrium".EUROPEAN JOURNAL OF OPERATIONAL RESEARCH 166.1(2005):278-292.