A minimax rule for portfolio selection in frictional markets
文献类型：期刊论文
| 作者 | Wang, SY; Yamamoto, Y; Yu, M |
| 刊名 | MATHEMATICAL METHODS OF OPERATIONS RESEARCH
 |
| 出版日期 | 2003-04-01 |
| 卷号 | 57期号:1页码:141-155 |
| 关键词 | portfolio selection optimization minimax risk measure |
| ISSN号 | 1432-2994 |
| 英文摘要 | In this paper, an optimal portfolio selection problem is formulated as a minimax problem in which tax and dividend are associated with transactions. The corresponding optimal portfolio is derived respectively in the market with and without riskless asset. Furthermore, the relation and main difference between this minimax principal and the classical M-V model as well as the existing two minimax models are discussed. |
| WOS研究方向 | Operations Research & Management Science ; Mathematics |
| 语种 | 英语 |
| WOS记录号 | WOS:000182446800011 |
| 出版者 | PHYSICA-VERLAG GMBH & CO |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/18773]  |
| 专题 | 中国科学院数学与系统科学研究院 |
| 通讯作者 | Wang, SY |
| 作者单位 | 1.Chinese Acad Sci, Inst Syst Sci, Acad Math & Syst Sci, Beijing 100080, Peoples R China 2.Univ Tsukuba, Inst Policy & Planning Sci, Tsukuba, Ibaraki 3058573, Japan |
| 推荐引用方式 GB/T 7714 | Wang, SY,Yamamoto, Y,Yu, M. A minimax rule for portfolio selection in frictional markets[J]. MATHEMATICAL METHODS OF OPERATIONS RESEARCH,2003,57(1):141-155. |
| APA | Wang, SY,Yamamoto, Y,&Yu, M.(2003).A minimax rule for portfolio selection in frictional markets.MATHEMATICAL METHODS OF OPERATIONS RESEARCH,57(1),141-155. |
| MLA | Wang, SY,et al."A minimax rule for portfolio selection in frictional markets".MATHEMATICAL METHODS OF OPERATIONS RESEARCH 57.1(2003):141-155. |
入库方式： OAI收割
来源：数学与系统科学研究院
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