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Link to original content: https://doi.org/10.1007/s001860200241
A minimax rule for portfolio selection in frictional markets | Mathematical Methods of Operations Research Skip to main content
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A minimax rule for portfolio selection in frictional markets

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Abstract.

In this paper, an optimal portfolio selection problem is formulated as a minimax problem in which tax and dividend are associated with transactions. The corresponding optimal portfolio is derived respectively in the market with and without riskless asset. Furthermore, the relation and main difference between this minimax principal and the classical M-V model as well as the existing two minimax models are discussed.

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Author information

Authors and Affiliations

  1. Institute of Systems Science, Academy of Mathematics and Systems Sciences, Chinese Academy of Sciences, Beijing 100080, China, , , , , , CN

    Shou-Yang Wang & Mei Yu

  2. Institute of Policy and Planning Sciences, University of Tsukuba, Tsukuba, Ibaraki 305-8573, Japan, , , , , , JP

    Y. Yamamoto

Authors
  1. Shou-Yang Wang
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  2. Y. Yamamoto
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  3. Mei Yu
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Additional information

Manuscript received: January 2002/Final version received: August 2002

 Supported by NSFC, CAS and MADIS.

 The corresponding author. E-mail: sywang@iss02.iss.ac.cn. This author is also with College of Business Administration, Hunan University.

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Wang, SY., Yamamoto, Y. & Yu, M. A minimax rule for portfolio selection in frictional markets. Mathematical Methods of OR 57, 141–155 (2003). https://doi.org/10.1007/s001860200241

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  • DOI: https://doi.org/10.1007/s001860200241

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