An Empirical Comparison between Mean-Variance Model and Minimax Model without Riskless Asset
2010
This paper concerns a minimax model to investigate the optimal portfolio selection without riskless asset . For the problem without riskless and short sale restriction, we derive a analytial expression for the optimal solution and the efficient frontier. Futhermore, the comparison of the efficient frontier between mean-variance model and minimax portfolio selection model is obtained.
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