摘要
在Markowitz均值-方差模型的基础上,对证券组合中带有交易成本和风险偏好的有效前沿进行了研究,并且给出了带有交易成本和风险偏好的有效前沿上的证券组合的一些新性质.同时在平面(σp2,Rp)上与不存在交易成本和风险偏好有效前沿的位置进行了比较,得到了带有交易成本的有效前沿向右上方漂移和开口变小的结论.这对实际证券投资决策有一定的指导意义.
On the base of Markowitz' s model, the efficient frontier of portfolio with transaction cost and preference of risk is studied. Some characters on the efficient frontier of portfolio are achieved. By comparing with the position of the efficient frontier without transaction cost in the plane (σp2, Rp), the conclusions that the efficient frontiers with transaction cost drift in a up-right direction and its opening is correspondingly shrinking are obtained.
出处
《烟台师范学院学报（自然科学版）》
2004年第2期96-99,共4页
Yantai Teachers University journal(Natural Science Edition)
关键词
证券组合
有效前沿
交易成本
风险偏好
portfolio
efficient frontier
transaction cost
preference of risk
