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李仲飞

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期刊论文

Interfaces with Other Disciplines A minimax portfolio selection strategy with equilibrium

李仲飞Xiao-Tie Deng a Zhong-Fei Li b* Shou-Yang Wang c

European Journal of Operational Research 166(2005)278-292,-0001,():

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摘要/描述

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.

版权说明: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,版权归本人所有。

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