A minimax rule for portfolio selection in frictional markets

In this paper, an optimal portfolio selection problem is formulated as a minimax problem in which tax and dividend are associated with transactions. The corresponding optimal portfolio is derived respectively in the market with and without riskless asset. Furthermore, the relation and main difference between this minimax principal and the classical M-V model as well as the existing two minimax models are discussed. Copyright Springer-Verlag Berlin Heidelberg 2003