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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