کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
9663716 1446239 2005 15 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
A minimax portfolio selection strategy with equilibrium
موضوعات مرتبط
مهندسی و علوم پایه مهندسی کامپیوتر علوم کامپیوتر (عمومی)
پیش نمایش صفحه اول مقاله
A minimax portfolio selection strategy with equilibrium
چکیده انگلیسی
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.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: European Journal of Operational Research - Volume 166, Issue 1, 1 October 2005, Pages 278-292
نویسندگان
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