极大极小投资组合模型

摘要

本文讨论了摩擦市场中,可以卖空的基础上,构造最优投资组合选择的极大极小模型.应用经典的Ky Fan极大极小不等式定理,将其转化为两个二次规划问题,并给出最优投资组合的表达形式.%In this paper, we construct a minimax model for the optimal portfolio selection in a friction market, at the same time short sales of risk assets is allowed. In the process of solving, Ky Fan minimax inequality theorem makes it into two quadratic programming problems, and the expression of optimal portfolio is presented.