| 具有交易成本的组合投资有效边界的研究 |
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| 引用本文： | 夏江山,荣喜民.具有交易成本的组合投资有效边界的研究[J].天津科技大学学报,2003(Z1). |
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| 作者姓名： | 夏江山 荣喜民 |
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| 作者单位： | 天津大学理学院，天津大学理学院 天津 300072，天津 300072 |
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| 基金项目： | 南开大学天津大学刘徽应用数学中心资助(2001T08) |
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| 摘 要： | 在介绍Harry Markowitz组合证券投资的基础上,分析了交易成本在证券组合投资中的作用,建立了考虑交易成本的组合投资最优化模型;讨论了交易成本对有效边界的影响,给出了最优投资比例公式。
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| 关 键 词： | 组合投资 交易成本 有效边界 |
THE RESEARCH ON EFFICIENT FRONTIER OF PORTFOLIO INVESTMENT WITH TRANSACTION COSTS |
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| XIA Jiang-shan,RONG Xi-min School of Science Tianjin University,Tianjin ,China.THE RESEARCH ON EFFICIENT FRONTIER OF PORTFOLIO INVESTMENT WITH TRANSACTION COSTS[J].Journal of Tianjin University of Science & Technology,2003(Z1). |
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| Authors: | XIA Jiang-shan RONG Xi-min School of Science Tianjin University Tianjin China |
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| Institution: | XIA Jiang-shan,RONG Xi-min School of Science Tianjin University,Tianjin 300072,China |
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| Abstract: | In this paper, Introducing Harry Markowitz's theory, the important effect of transaction
costs in portfolio investment is analyzed, the optimization model of portfolio investment with transac-
tion costs is established; and the influence of transaction costs for afficient frontier of portfolio in-
vestment is discussed. The methods for determining the portfolio are given. |
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| Keywords: | Portfolio investment Transaction cost Efficient frontier |
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