摩擦市场下多阶段投资组合的均值方差模型

Optimal dynamic portfolio selection in a frictional market with mutiperiod mean-variance formulation

研究税收、红利和新型交易成本下摩擦市场的多阶段均值-方差模型的投资组合问题.在允许卖空的情况下,以终端财富最大化为目标,通过建立辅助问题,利用逆序动态规划的求解方法,得到了各阶段的最优投资策略解析表达式,同时也得到了均值方差有效前沿的解析表达式.

The problem of multiperiod portfolio selection was dealt with under the mean-variance formulation in a frictional market with tax, bonus and new transaction costs. Targeting at the maximization of terminal wealth, the analytical solution of the optimal portfolio policy in each period was achieved via the technique of constructing the auxiliary problems and utilizing the method of inverseorder-solving algorithm of dynamic programming. Meanwhile the analytical expression of the meanvariance efficient frontier was obtained.