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.
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