Equilibrium relations in a capital asset market: A mean absolute deviation approach
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Publication:1000348
DOI10.1007/BF02425207zbMath1154.91455MaRDI QIDQ1000348
Hiroshi Konno, Hiroshi Shirakawa
Publication date: 6 February 2009
Published in: Financial Engineering and the Japanese Markets (Search for Journal in Brave)
Related Items (11)
Stochastic programming technique for portfolio optimization with minimax risk and bounded parameters ⋮ Equilibrium in an ambiguity-averse mean-variance investors market ⋮ Dynamic optimal portfolio with maximum absolute deviation model ⋮ Does marginal VaR lead to improved performance of managed portfolios: a study of S\&P BSE 100 and S\&P BSE 200 ⋮ Equilibria in the capital market with non-homogeneous investors ⋮ EXISTENCE, UNIQUENESS, AND DETERMINACY OF A NONNEGATIVE EQUILIBRIUM PRICE VECTOR IN ASSET MARKETS WITH GENERAL UTILITY FUNCTIONS AND AN ELLIPTICAL DISTRIBUTION ⋮ A minimax portfolio selection strategy with equilibrium ⋮ Optimality conditions in portfolio analysis with general deviation measures ⋮ A note on a minimax rule for portfolio selection and equilibrium price system ⋮ Necessary and sufficient condition for the existence of a nonnegative equilibrium price vector in the capital market with short-selling ⋮ EXISTENCE OF A NONNEGATIVE EQUILIBRIUM PRICE VECTOR IN THE MEAN-VARIANCE CAPITAL MARKET
Cites Work
- Mean-risk analysis of risk aversion and wealth effects on optimal portfolios with multiple investment opportunities
- A mean-absolute deviation-skewness portfolio optimization model
- PIECEWISE LINEAR RISK FUNCTION AND PORTFOLIO OPTIMIZATION
- Linear Statistical Inference and its Applications
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