| 有交易成本的投资组合策略 |
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| 引用本文： | 杨昭军,李致中.有交易成本的投资组合策略[J].数学理论与应用,1999(3). |
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| 作者姓名： | 杨昭军 李致中 |
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| 作者单位： | 湖南税务高等专科学校!长沙，410116，长沙铁道学院科研所!长沙，410075 |
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| 摘 要： | 金融市场都存在交易成本，为此，本文建立了有交易成本的投资组合模型，讨论了模型解的条件，并提出模型的通用数值解法，最后给出了应用举例．
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| 关 键 词： | 投资组合策略 交易成本 最优化计算 应用举例 |
Portfolio Selection with Transaction Costs |
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| Yang Zhaojun.Portfolio Selection with Transaction Costs[J].Mathematical Theory and Applications,1999(3). |
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| Authors: | Yang Zhaojun |
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| Abstract: | In the well-knows CAPM proposed by the Nobel Prize winner Markowitz(1959) & Sharpe et al. the issue of portfolio selection is treated with non-transaction costs.The costs, however, exist in every finan- cial market.As for this , this paper puts forward portfolio selection model with transaction costs, and obtains condition for its solution as well as the general numerical solution.Furthermore, we cite an example on appli- cation. |
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| Keywords: | Portfolio selection Transaction costs Optimazation method Example |
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