On admissible efficient portfolio selection policy
On admissible efficient portfolio selection policy
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DOI：
10.1016/j.amc.2004.09.079
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发表时间：
2005-10
期刊：
影响因子：
--
通讯作者：
Wei-guo Zhang;Z. Nie
中科院分区：
文献类型：
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作者：
Wei-guo Zhang;Z. Nie
由于金融市场的不确定性因素，资产的预期收益和风险无法准确预测。本文在一般投资约束下，假设资产的期望收益和风险都具有容许误差，提出了容许有效投资组合模型。上、下容许有效投资组合可以通过投资组合的期望收益和风险与容许误差上、下界的差来定义。当不允许卖空时，可容许的有效投资组合边界被显式地导出。最后给出了一个投资组合问题的数值例子来说明我们提出的有效方法和途径。
The expected return and risk of asset cannot be predicted accurately because of uncertain factors that affect the finical markets. In this paper, the admissible efficient portfolio model is proposed under the assumption that the expected return and risk of asset have admissible errors with general investment constraints. The upper and lower admissible efficient portfolios can be defined by the spreads of the portfolio expected returns and risks from the upper and lower bounds of admissible errors. The admissible efficient portfolio frontiers are derived explicitly when short sales are not allowed. A numerical example of a portfolio selection problem is given to illustrate our proposed effective means and approaches.