| 有交易成本的模糊最优化投资 |
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| 引用本文： | 荣喜民,苏丽.有交易成本的模糊最优化投资[J].数学的实践与认识,2003,33(11):27-32. |
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| 作者姓名： | 荣喜民 苏丽 |
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| 作者单位： | 天津大学理学院数学系,天津,300072 |
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| 基金项目： | 南开大学天津大学刘徽应用数学中心资助 ( 2 0 0 1T0 8) |
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| 摘 要： | 本文针对交易成本在证券组合投资中的重要地位 ,提出了考虑交易成本 ,并兼顾收益与风险的模糊最优化投资模型 ,分析了交易成本对投资有效边界的影响 ,并给出了最优投资比例公式 .这对投资者进行投资有重要的理论与实践意义 .最后 ,通过释例进行了说明 .
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| 关 键 词： | 交易成本 模糊 有效边界 投资 |
| 修稿时间： | 2001年4月3日 |
The Fuzzy Optimization Investment with Transaction Costs |
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| RONG Xi-min,SHU Li.The Fuzzy Optimization Investment with Transaction Costs[J].Mathematics in Practice and Theory,2003,33(11):27-32. |
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| Authors: | RONG Xi-min SHU Li |
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| Abstract: | In this paper, in accordance with the important status of transaction costs in investment, author raise the fuzzy optimization model of portfolio selection with transaction costs which give consideration to both return and deviation, analyse influence of transaction costs for efficient froniter of portfolio selection. The method for deterining the portfolio are given. It provides important theorial and practical significance for investment to invest in securities market. Final, authors give a illustration to show their application. |
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| Keywords: | transaction cost fuzzy efficient froniter investment |
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