出版社：LLC “Consulting Publishing Company “Business Perspectives”
摘要：This paper examines the market bounds in order to describe the evolution of investor's optimal choices.Thus,first we describe the distributions of market bounds when limited short sales are allowed.Then,we introduce a linear approximation model that describes the investors'optimal choices as a function of the upper market bound.Finally,we propose an empirical comparison be?tween optimal strategies based on the expected optimal portfolios related to the upper market bound.
关键词：stochastic bounds;stochastic dominance;safety first optimal portfolio.
