| Article ID: | iaor20041046 |
| Country: | Germany |
| Volume: | 57 |
| Issue: | 1 |
| Start Page Number: | 141 |
| End Page Number: | 155 |
| Publication Date: | Jan 2003 |
| Journal: | Mathematical Methods of Operations Research (Heidelberg) |
| Authors: | Yamamoto Y., Yu M., Wang S.-Y. |
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.