摘要
利用动态规划方法解决带交易费用的均差模型,给出了有交易费用均差模型的解析解,所得结果应用方便,对投资者的实际投资交易有一定的指导意义.
The analytical solution of the mean-variance model under transaction costs is deduced by means of dynamic programming. The results are very important for the investors in the trade and the analytical solution in this paper makes the investment easier.
出处
《吉林大学学报(理学版)》
CAS
CSCD
北大核心
2009年第5期893-898,共6页
Journal of Jilin University:Science Edition
基金
国家自然科学基金(批准号:J0630104)
关键词
投资组合
均差模型
动态规划
investment portfolio
mean,variance model
dynamic programming