带有交易成本的投资组合的有效边界  

The Frontier of Portfolio Selection with Transaction Costs

作　　者：陈铭[1] 李宏杰[1] 

机构地区：[1]嘉兴学院数学与信息科学学院,浙江嘉兴314001

出　　处：《嘉兴学院学报》2006年第z1期179-182,共4页Journal of Jiaxing University

摘　　要：该文以Markowitz模型和具有交易成本的证券投资模型作对比,讨论了交易成本及资本结构因子对有效边界的影响,同时考虑了无风险证券存在的情况。By comparing Markowitz's portfolio model with the model with the cost of business transaction, we can learn the importance of the model which involves two factors:cost of the business transaction and the ratio of asset in debt. Meanwhile,the existence of riskless asset will be taken into consideration.

关 键 词：交易成本 资本结构因子 投资组合 有效边界 

分 类 号：F830.59[经济管理—金融学]