Abstract
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. © 2004 Elsevier B.V. All rights reserved.
| Original language | English |
|---|---|
| Pages (from-to) | 278-292 |
| Journal | European Journal of Operational Research |
| Volume | 166 |
| Issue number | 1 SPEC. ISS. |
| DOIs | |
| Publication status | Published - 1 Oct 2005 |
Bibliographical note
Publication details (e.g. title, author(s), publication statuses and dates) are captured on an “AS IS” and “AS AVAILABLE” basis at the time of record harvesting from the data source. Suggestions for further amendments or supplementary information can be sent to [email protected].Funding
This research was supported in part by a Foundation for the Author of National Excellent Doctoral Dissertation of China (No. 200267), a grant of the National Natural Science Foundation of China (No. 10171115), a “Tenth Five-Year Plan” project of Ministry of Education of China (No. 01JA630009), a grant of the Natural Science Foundation of Guangdong Province (No. 011193), a CERG grant (CityU1081/02E) and a research grant of City University of Hong Kong.
Research Keywords
- Equilibrium
- Optimization
- Portfolio selection
- Uncertainty modelling
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