含资本结构因子和交易费用的CVaR投资组合模型分析

The Investment Combination Model Analysis on Portfolio with Capital Structure and Transaction Cost Based on CVaR

在资本市场上,资本结构因子和交易费用对投资组合决策的影响是现实存在的,而完全竞争市场假设的投资组合模型缺乏实用的指导意义。基于改进的、含有资本结构因子和交易费用的CVaR投资组合模型的分析表明,资本结构因子和交易费用的变动会引起CVaR投资组合有效前沿的移动和上下限的变动。

In the capital marke4 the effects of the capital structure factors and transaction cost on the investment combination decision is exist. But portfolio model under the assumption of complete market lacks of practically instructiveness. We can built a CVaR portfolio model with capital structure factor and transaction cost. Empirical studies indicates that the changes of capital structure factor and transaction cost lead to the movement of efficient frontier on CVaR portfolio model and the changes of upper and lower limit.