کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
4633827 1340680 2009 9 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
A note on a minimax rule for portfolio selection and equilibrium price system
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
A note on a minimax rule for portfolio selection and equilibrium price system
چکیده انگلیسی

This paper concerns a minimax model to investigate the optimal portfolio selection problem without riskless assets and with or without short sale restriction. A numerical solution to the problem with short sale restriction is obtained by using the maximum entropy algorithm. For the problem without short sale restriction, we derive a analytical expression for the optimal solution, a sufficient condition for the existence and uniqueness of a nonnegative equilibrium price system, and an explicit formula for the price system. Furthermore, a numerical example is given to show the validity of the method.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Applied Mathematics and Computation - Volume 208, Issue 1, 1 February 2009, Pages 49–57
نویسندگان
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