摘要
以最优投资组合的选择问题为研究对象,在市场存在摩擦的情况下,通过构筑各种有价证券的头寸来最好地符合投资者的收益和风险的权衡.在理论上,将Markowitz均值-方差模型的最优化设置推广到了带交易费和不允许卖空时的情形;并从实践的角度出发,针对投资者的效用函数不明确的困境,提出了交互式方法,很好地解决了这一问题,从而在理论和实践上完整地解决了在摩擦市场中寻找最优投资组合的问题.
This article focuses on the selection of the optimal portfolio when the market is not perfect and the friction exists, which includes trade fees and the tax revenue. It has proved several important properties of the Markowitz's model in such frictional market with the restriction of no permission of short sale. To solve the difficulty of implicit utility functions, it uses the interactive method to search the optimal portfolio.
出处
《华中师范大学学报（自然科学版）》
CAS
CSCD
北大核心
2003年第2期146-152,共7页
Journal of Central China Normal University：Natural Sciences
基金
国家自然科学基金资助项目(19971033)
教育部高等学校骨干教师资助计划项目(GG-110-10511-1006).
