A Note on a Minimax Rule for Portfolio Selection and Equilibrium Price System

摘要：

In this paper, a new minimax model on optimal portfolio selection without riskless asset is established. The optimal solution and corresponding efficient frontier to the problem in market without short sale restriction is obtained by using Lagrange multiplier method. And also a minimax model on optimal portfolio selection problem in market with short sale restriction is discussed. The corresponding numerical optimal solution is obtained by maximal entropy algorithm. At the same time, a numerical example is given to show the validity of maximal entropy algorithm method. Furthermore, 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 derived.

关键词： Portfolio selection Minimax model Optimization Efficient frontier

作者: Kaiyong ZHU Zhuwu WU

作者单位: College of Science,China university of mining and technology,Xuzhou,221116,China

会议类型: 国际会议

会议名称: 2008 International Conference on Risk and Relianility Management(2008风险与可靠性管理国际会议)

会议地点: 北京

会议语种:英文

页码: 84-91

在线出版日期: 2008-11-10（万方平台首次上网日期，不代表论文的发表时间）