statistically efficient construction of α-risk-minimizing portfolio统计学上有效的建设α-risk-minimizing组合.pdfVIP

Hindawi Publishing Corporation Advances in Decision Sciences Volume 2012, Article ID 980294, 17 pages doi:10.1155/2012/980294 Research Article Statistically Efficient Construction of α-Risk-Minimizing Portfolio Hiroyuki Taniai1 and Takayuki Shiohama2 1 School of International Liberal Studies, Waseda University, 1-6-1 Nishi-Waseda, Shinjuku, Tokyo 169-8050, Japan 2 Department of Management Science, Faculty of Engineering, Tokyo University of Science, 1-3 Kagurazaka, Shinjuku, Tokyo 162-8601, Japan Correspondence shou