摘要
讨论了市场上不存在无风险资产条件下投资组合选择的极大极小模型,推导出市场上不存在无风险资产时极大极小模型的最优投资策略和有效前沿,得到了资本市场均衡时存在唯一的非负均衡价格系统的充分必要条件和各资产均衡价格的解析表达式.
In this paper, a new minimax model on optimal portfolio selection without riskless asset is established. Based on this model, the optimal strategy and the efficient frontier are given. In addition, the sufficient condition for the existence and uniqueness of a nonnegative equilibrium price system is provided. Finally, the explicit formula for such a price system is obtained.
出处
《系统科学与数学》
CSCD
北大核心
2009年第6期828-838,共11页
Journal of Systems Science and Mathematical Sciences
基金
国家自然科学基金(10671205)
教育部新世纪人才计划(NCET-04-0485)
中国矿业大学青年科研基金(2006A041
2007A029)资助课题。
关键词
投资组合选择
有效前沿
均衡.
Portfolio selection, efficient frontier, equilibrium.
