负债下摩擦市场允许卖空时的最优投资组合  

Optimal portfolio selection of friction market in the case of short sales under liability

作　　者：唐俊[1] 丁立刚[1] 魏福红[1] 张景 

机构地区：[1]内蒙古科技大学理学院,内蒙古包头014010

出　　处：《内蒙古科技大学学报》2006年第3期292-295,共4页Journal of Inner Mongolia University of Science and Technology

摘　　要：着眼于现实的金融市场,用极大极小模型讨论了负债条件下,并存在税收、红利和交易费等摩擦因素影响的单阶段投资组合最优化选择问题,给出了允许卖空时解的一些结果和有效前沿的表达式.The optimal portfolio selection of friction market in the case of short sales under liability was dealt with.The minimax method was used to establish two-period mean-variance models with tax,dividend and transaction costs under liability.The analytical expressions of optimal portfolios and efficient frontiers were also presented on the basis of these models.

关 键 词：摩擦市场 有效前沿 交易费 极大极小模型 

分 类 号：F830.91[经济管理—金融学]