一个扩展的含资本结构因子和交易成本的证券组合投资模型

An Extended Model of Portfolio Selection with Transaction Costs in Varying Capital Structure

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.