Optimal Use of Posterior Information in Portfolio Construction and the Separation Theorem

DOI

Bibliographic Information

Other Title
  • 分散投資における事後情報の最適利用と分離定理

Description

<p>Abstract. The notion of efficient portfolios is re-stated in terms of data-measurable investment rates as well as a modified definition of the risk, in which the risk is evaluated by the unconditional mean of the squared deviation of the total return from its conditional mean. An optimization problem is mathematically solved to find the efficient portfolio that attains maximum expected return with the risk constrained to an arbitrarily given level. In addition, there is found a result similar to Tobin's one-fund theorem.</p>

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Keywords

Details 詳細情報について

  • CRID
    1390282763117028992
  • NII Article ID
    130007618974
  • DOI
    10.11540/jsiamt.29.1_1
  • ISSN
    24240982
  • Text Lang
    ja
  • Data Source
    • JaLC
    • CiNii Articles
  • Abstract License Flag
    Disallowed

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