Optimal Portfolio Selection and Cutoff Rates of Security Performance: A Multi‐Index Case*
研究在多指数模型下推导投资组合优化问题的替代解法，证明证券业绩截止率的关键函数性质，为非排序选择程序提供理论依据，并检验其在稳定帕累托分布下的稳健性。
ABSTRACT The present study performs portfolio analysis using a multi‐index model in the diagonal form. In a mean‐variance framework, an alternative solution to a portfolio optimization problem is derived, providing analytical and computational improvements. This leads to a proof of a crucial functional property of cutoff rates of security performance in the solution, thus providing formal justification for a nonranking procedure of optimal portfolio selection. The robustness of the above functional property, and hence the nonranking procedure, is demonstrated numerically when the underlying normality assumption of security returns is replaced by a more general assumption of stable Paretian distributions.