摘要
在介绍经典的Harry Markowitz均值-方差投资组合模型的基础上,建立了含有资本结构因子和交易成本的证券组合最优化模型,在组合中不含有无风险证券和含有无风险证券的条件下,分别给出最优投资比例及有效边界,并讨论了资本结构因子与交易成本对有效边界的影响。
In this paper, the impact of friction factors and transaction costs on portfolio optimization are studied. The author establishes an optimization model of portfolio investment with transaction costs and friction factors, as the risk security and non-risk security are considered , and gives the portfolio and the efficient frontier of that model, and discusses the influence of transaction costs and friction factors on the efficient frontier.
出处
《中国管理科学》
CSSCI
2007年第3期14-18,共5页
Chinese Journal of Management Science
基金
浙江省教育厅资助项目(20041121)
关键词
投资组合
资本结构因子
交易成本
有效边界
portfolio selection
capital structure
transaction cost
efficient frontier
