| 含交易费用和机会约束的投资组合模型 |
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| 引用本文： | 陈静,李磊,倪明放.含交易费用和机会约束的投资组合模型[J].广州大学学报(自然科学版),2008,7(6). |
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| 作者姓名： | 陈静 李磊 倪明放 |
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| 作者单位： | 1. 金陵科技学院公共基础课部,江苏南京,211169
2. 中国人民解放军理工大学通信工程学院,江苏南京,210007 |
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| 基金项目： | 江苏省高校自然科学基金资助项目
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| 摘 要： | 在证券收益率服从正态分布的前提下，建立了有交易费用存在时的机会约束下的均值一标准差投资组合模型，讨论了最优解的存在性和唯一性．然后在均值一方差模型有效边界的基础上引入机会约束，得到了该模型的有效边界及其最优解，最后举例予以说明．
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| 关 键 词： | 交易费用 机会约束 投资组合 |
Chance-constrained portfolio model with transaction costs |
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| CHEN Jing,LI Lei,NI Ming-fang.Chance-constrained portfolio model with transaction costs[J].Journal og Guangzhou University:Natural Science Edition,2008,7(6). |
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| Authors: | CHEN Jing LI Lei NI Ming-fang |
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| Institution: | CHEN Jing1,LI Lei2,NI Ming-fang2(1.Jinling Institute of Technology,Nanjing 211169,China,(2.Institute of Communications Engineering,PLA University of Science , Technology,Nanjing 210007,China) |
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| Abstract: | Under the assumption that the rates of return of portfolio are normal random variables,a mean-variance portfolio model with transaction costs under constraint of investment chance is established.Existence and uniqueness of the model's optimal solution are discussed.On the basis of mean-variance model's effective border,the constraint of investment chance is introduced,and the model's effective border and the optimal solution are obtained.Finally,an illustrative example is provided. |
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| Keywords: | transaction costs constraint of investment chance portfolio |
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