含流动性约束及保证金购买的多空投资组合选择模型

A Long-short Portfolio Selection Model with Liquidity Constraints and Margin Purchase

本文在基于风险资产的价格服从梯形可能性分布的基础上,引入流动性约束、保证金限制、交易成本和存贷利差等因素,建立了多空投资组合模型。利用非线性规划理论和极大熵方法,给出了求解该模型的一种方法。最后,通过实例验证了主要结果并分析了流动性约束、保证金、交易费和存贷利差等因素对投资组合有效前沿的影响。

In this paper,by defining the security price as trapezoidal fuzzy number,we establish a long-short portfolio selection model with liquidity constraints,margin,transaction costs and different borrowing and lending interests.By using the theory of nonlinear programming and maximum entropy methods,we give an algorithm to solve this model.Finally,an example is given to illustrate our main results and analysis of the interaction of the portfolio efficient frontier with liquidity constraints,margin,transaction costs and different borrowing and lending interests.