具有交易成本的证券投资组合选择—— 一种求解方法

Portfolio and investment selection with transaction cost —A Solution to this problem

本文研究一类带交易成本证券投资组合选择的求解 ,在风险不超过某个阀值的假设下 ,我们给出一种求解方法 ,最后本文通过实例计算表明该方法是有效的。

This paper studied how to solve this problem about portfolio and investment selection with transaction cost. we assumed the risk did not exceed a threshold, then we give a solution to this problem, at last, a computed instance illustrated this solution is effective.