摘要
通过在经典的投资组合Markowitz均值-方差模型基础上引入资本结构因子和交易成本系数,建立了考虑交易成本和资本结构因子的投资组合最优化模型,给出了最优投资比例公式,讨论了交易成本及资本结构变化对有效边界的影响.最后通过实例进行了说明.
In this paper, the impact of friction factors and transaction costs on portfolio optimization are studled. The authors establish the optimization model of portfolio investment with transaction costs and friction factors, get the results and methods of that model, and discuss the influence of transaction costs and friction factors to the efficient frontier. Finally, they give an illustration to show their application.
出处
《四川大学学报(自然科学版)》
CAS
CSCD
北大核心
2005年第4期639-643,共5页
Journal of Sichuan University(Natural Science Edition)
基金
教育部高等学校博士学科点基金项目(20020610053)
关键词
投资组合
资本结构因子
交易成本
有效边界
portfolio selection
capital structure
transaction cost
efficient frontier