摘要
建立了不同借贷利率下含有交易成本的证券组合最优化模型,分别给出了最优投资策略及有效边界的解析表达式,并讨论了交易成本对有效边界的影响,结果表明,不同借贷利率下含有交易成本的有效边界由线段、双曲线段及射线上的点组成的集合;最后进行了实例分析。
This paper establishes the most optimized investment portfolio model with transaction costs under different lending rates.The optimal strategies and the analytical expressions of efficient frontier are obtained respectively.Moreover,the paper discusses the influences of different transaction costs on the efficient frontier.The results show that the efficient frontier is a set which consists of the line segment,the hyperbola segment and the radial points.Finally,a numerical example is provided to demonstrate the effectiveness of the proposed results.
出处
《嘉兴学院学报》
2009年第5期51-58,共8页
Journal of Jiaxing University
