| 负债下摩擦市场不允许卖空时的最优投资组合 |
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| 引用本文： | 唐俊,丁立刚. 负债下摩擦市场不允许卖空时的最优投资组合[J]. 内蒙古大学学报(自然科学版), 2007, 38(5): 485-489 |
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| 作者姓名： | 唐俊 丁立刚 |
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| 作者单位： | 内蒙古科技大学理学院,内蒙古,包头,014010;内蒙古科技大学理学院,内蒙古,包头,014010 |
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| 基金项目： | 内蒙古科技大学校科研和教改项目 |
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| 摘 要： | 用极大极小模型讨论了在负债下,存在税收、红利和交易费等摩擦因素影响时不允许卖空时的两阶段投资组合最优化选择问题,分析了该模型的某些特征.尤其是,当风险资产互不相关时给出了解的表达式和一个有效的算法.
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| 关 键 词： | 摩擦市场 交易费 极大极小模型 |
| 文章编号： | 1000-1638（2007）05-0485-05 |
| 修稿时间： | 2006-09-25 |
Optimal Portfolio Selection of Friction Market in Case of No Short Sales under Liability |
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| TANG Jun,DING Li-gang. Optimal Portfolio Selection of Friction Market in Case of No Short Sales under Liability[J]. Acta Scientiarum Naturalium Universitatis Neimongol, 2007, 38(5): 485-489 |
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| Authors: | TANG Jun DING Li-gang |
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| Affiliation: | Mathematics and Physics School ,UST Inner Mongolia ,Baotou O14010,China |
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| Abstract: | The optimal portfolio selection of friction market in case of no short sales is discussed under liability.The two-period mean-variance models with tax,dividend and transaction costs under liability are established by using a minimax method,and the mathematic characteristics of the model is analyzed.Especially,the case in which the variance-covariance matrix is diagonal is introduced and its solution expression and an efficient algorithm are given. |
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| Keywords: | friction market transaction costs minimax method |
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