A minimax portfolio selection strategy with equilibrium
نویسندگان
چکیده
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. 2004 Elsevier B.V. All rights reserved.
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ورودعنوان ژورنال:
- European Journal of Operational Research
دوره 166 شماره
صفحات -
تاریخ انتشار 2005