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Optimality and robustness of a minimax portfolio

 

作者: JATIK. SENGUPTA,  

 

期刊: International Journal of Systems Science  (Taylor Available online 1987)
卷期: Volume 18, issue 12  

页码: 2321-2335

 

ISSN:0020-7721

 

年代: 1987

 

DOI:10.1080/00207728708967189

 

出版商: Taylor & Francis Group

 

数据来源: Taylor

 

摘要:

A class of minimax investment portfolio which minimizes the maximum of suitably-defined risk is analysed theoretically and its relation to Markowitz efficient portfolios is evaluated. It is shown that minimax portfolios possess some robustness properties not shared by Markowitz efficient portfolios. An empirical application of the minimax risk frontier over Jensen's data set shows its superiority in explanatory power and robustness.

 

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