| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 9663716 | European Journal of Operational Research | 2005 | 15 Pages |
Abstract
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.
Related Topics
Physical Sciences and Engineering
Computer Science
Computer Science (General)
Authors
Xiao-Tie Deng, Zhong-Fei Li, Shou-Yang Wang,