A minimax portfolio selection strategy without rist-free asset

Based on the theory of portfolio selection with a risk-free asset, a selection model without risk-free asset is introduced. Since the optimal solution of the Markowitz model is very sensitive to the securities mean estimation, we restrict the securities mean to an interval to get over this shortcoming. Moreover, the corresponding optimal portfolio is derived analytically. Under the condition that the market is cleared, a sufficient condition for the existence and uniqueness of a nonnegative equilibrium price system is obtained. We also obtain its analytical expression.