有交易成本的投资组合策略

Portfolio Selection with Transaction Costs

金融市场都存在交易成本，为此，本文建立了有交易成本的投资组合模型，讨论了模型解的条件，并提出模型的通用数值解法，最后给出了应用举例．

In the well-knows CAPM proposed by the Nobel Prize winner Markowitz(1959) & Sharpe et al. the issue of portfolio selection is treated with non-transaction costs.The costs, however, exist in every finan- cial market.As for this , this paper puts forward portfolio selection model with transaction costs, and obtains condition for its solution as well as the general numerical solution.Furthermore, we cite an example on appli- cation.