Equilibrium relations in a capital asset market: A mean absolute deviation approach

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)

zbMATH Keywords

absolute deviationCAPMportfolio analysisMAD model

Mathematics Subject Classification ID

Special types of economic equilibria (91B52)

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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