| An Optimal Portfolio Model with Transaction Cost |
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| 作者姓名： | Yun Xu |
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| 作者单位： | College of Mathematics and Systems Sciences, Xinjiang University, Urmuqi 830046, China |
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| 基金项目： | This project is Supported in part by XJUDFC and Foundation of Doctoral Programs in State Education Ministry.. |
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| 摘 要： |
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| 关 键 词： | 凸规划模型 优化解 交易成本 存在性 |
| 收稿时间： | 2005-09-26 |
An Optimal Portfolio Model with Transaction Cost |
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| Yun Xu.An Optimal Portfolio Model with Transaction Cost[J].Journal of Sysytems Science and Information,2006,4(4):711-720. |
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| Abstract: | In this paper, a convex programming model for portfolio select with trans- action costs was present, we proved the existence condition of optimal solution, and gave a simple example to the optimal solution. |
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| Keywords: | optimal portfolio convex programming model optimal solution transaction cost |
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