A minimax portfolio selection strategy with equilibrium

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 p...

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Veröffentlicht in:	European journal of operational research 2005-10, Vol.166 (1), p.278-292
Hauptverfasser:	Deng, Xiao-Tie, Li, Zhong-Fei, Wang, Shou-Yang
Format:	Artikel
Sprache:	eng
Schlagworte:	Applied sciences Equilibrium Exact sciences and technology Investment policy Maximin strategies Operational research and scientific management Operational research. Management science Optimization Portfolio management Portfolio selection Portfolio theory Studies Uncertainty Uncertainty modelling
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Beschreibung
Zusammenfassung:	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.
ISSN:	0377-2217 1872-6860
DOI:	10.1016/j.ejor.2004.01.040