有交易成本的证券投资研究

Research on securities investment with transaction costs

在分析Markowitz组合证券投资模型的基础上,讨论了交易成本及β系数在组合投资中的重要性,建立了有交易成本,并考虑投资人风险偏好的组合证券投资模型和β系数风险的证券投资模型,给出最优投资策略和投资的有效边界,讨论了交易成本及风险偏好对投资策略的影响.最后,通过释例进行了说明.

In this paper, based on the analysis of Markowitz's portfolio selection model, authors discuss the importance of transaction cost and β coefficient in portfolio selection, establish portfolio selection model and β coefficient risk portfolio selection model with transaction cost which consider investor's preference of risk, give optimal investment tactics and efficient frontier, and discuss influence of transaction costs on investment tactics and efficient frontier of portfolio selection. Finally, authors give an illustration example to show their application.