带有交易成本的投资组合的有效边界

The Frontier of Portfolio Selection with Transaction Costs

该文以Markowitz模型和具有交易成本的证券投资模型作对比,讨论了交易成本及资本结构因子对有效边界的影响,同时考虑了无风险证券存在的情况。

By comparing Markowitz's portfolio model with the model with the cost of business transaction, we can learn the importance of the model which involves two factors:cost of the business transaction and the ratio of asset in debt. Meanwhile,the existence of riskless asset will be taken into consideration.