This paper analyzes the portfolio with inflation and transaction cost by broadening mean-variance model assumption. Based on the comparison between efficient frontier with and without transaction cost and inflation, t...This paper analyzes the portfolio with inflation and transaction cost by broadening mean-variance model assumption. Based on the comparison between efficient frontier with and without transaction cost and inflation, the conclusion is drawn that the new efficient frontier is revolving and the new investment strategy changes. Furthermore, we provide a numerical example based on real world data.展开更多
文摘This paper analyzes the portfolio with inflation and transaction cost by broadening mean-variance model assumption. Based on the comparison between efficient frontier with and without transaction cost and inflation, the conclusion is drawn that the new efficient frontier is revolving and the new investment strategy changes. Furthermore, we provide a numerical example based on real world data.
