کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
9506652 | 1340754 | 2005 | 16 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
On admissible efficient portfolio selection policy
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
The expected return and risk of asset cannot be predicted accurately because of uncertain factors that affect the finical markets. In this paper, the admissible efficient portfolio model is proposed under the assumption that the expected return and risk of asset have admissible errors with general investment constraints. The upper and lower admissible efficient portfolios can be defined by the spreads of the portfolio expected returns and risks from the upper and lower bounds of admissible errors. The admissible efficient portfolio frontiers are derived explicitly when short sales are not allowed. A numerical example of a portfolio selection problem is given to illustrate our proposed effective means and approaches.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Applied Mathematics and Computation - Volume 169, Issue 1, 1 October 2005, Pages 608-623
Journal: Applied Mathematics and Computation - Volume 169, Issue 1, 1 October 2005, Pages 608-623
نویسندگان
Wei-Guo Zhang, Zan-Kan Nie,