有交易成本的组合证券投资

Research Portfolio Selection with Transaction Costs

分析了交易成本在证券组合投资中的作用 ,建立了考虑交易成本组合投资最优化模型 ;讨论了交易成本对有效边界的影响 ,给出最优投资比例公式 ;并讨论了有无风险证券加入证券组合时的投资有效边界 ;最后通过释例进行了说明 .

In this paper,the important effect of transaction costs in portfolio investment is analized,the optimization model of portfolio investment with transaction eosts is establishch,and the influence of transaction costs for efficient frontier of portfolio investment is discussed.The methods for determning the portfolio are given.When the non risk security is considered in portfolio investment,the change of effcient frontier of portfolio investment is discussed.Finally an illustration to show their application is given