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引用
期刊论文
Interfaces with Other Disciplines A minimax portfolio selection strategy with equilibrium
European Journal of Operational Research 166(2005)278-292,-0001,():
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.
【免责声明】以下全部内容由[李仲飞]上传于[2005年07月07日 17时45分07秒],版权归原创者所有。本文仅代表作者本人观点,与本网站无关。本网站对文中陈述、观点判断保持中立,不对所包含内容的准确性、可靠性或完整性提供任何明示或暗示的保证。请读者仅作参考,并请自行承担全部责任。
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