考虑交易成本的一种新型资本市场线模型研究

THE STUDY OF THE CAPITAL MARKET LINE MODEL WITH A SUPERIOR ASSET

本文利用均值 -方差模型 ,通过引进优良资产 ,在考虑了交易成本的前提下 。

By means of the mean variance model and character of a superior asset,on the condition of considering transaction costs,the paper studies the portfolio problem in the superior asset,and gives a kind of the new capital market line.