| THE ATTAINABILITY OF THE PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS |
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| 作者姓名： | XU Shimeng |
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| 作者单位： | XU Shimeng(Institute of Applied Mathematics，Academia Sinica，Beijing 100080，China)ZHANG Yuzhong(Institute of Operations Research，Qufu Normal University，Qufu 273165，China) |
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| 摘 要： | 1.IntroductionConsideraninvestorwhoisinafricti0nalmarket,moreconcretely,heisinamarketwithproportionaltransactioncosts.nansacti0ncostsmaybeanessentialpropertyofthecontemporarymarkettrading.Uptonow,intheliteraturesofmathematicalfinancetherehaveealsteds0mearticlesonit,suchas1-4]whicharerepresentativeamongthem.Infact,itisverysignilicient,whentheinvestorfacingmultiplestocksinthemarket,howtoobtainhisportfoliooptimizationundertransactioncostsathisterminalinvestingtimeT.However,theabovearticlesareno…
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THE ATTAINABILITY OF THE PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS |
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| XU Shimeng.THE ATTAINABILITY OF THE PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS[J].Journal of Systems Science and Complexity,2000(3). |
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| Authors: | XU Shimeng |
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| Abstract: | We propose the concepts of normalized market and average hedging strategies, and discuss the attainability of the portfolio optimization under transaction costs and multiple stocks, by the extended forms of the martingale approach and the duality methods. Incidentally, we give an upper bound of the expectation of the portfolio at terminal investing time. |
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| Keywords: | Transaction costs optimization hedge convex martingale approach |
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