Article ID: | iaor20062147 |
Country: | Netherlands |
Volume: | 166 |
Issue: | 1 |
Start Page Number: | 278 |
End Page Number: | 292 |
Publication Date: | Oct 2005 |
Journal: | European Journal of Operational Research |
Authors: | Wang Shou-Yang, Li Zhong-Fei, Deng Xiao-Tie |
Keywords: | optimization |
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.