含交易费用投资组合模型的建立  

Establishment of some portfolio models including transaction costs

作　　者：吕小妮[1] 

机构地区：[1]西安邮电学院应用数理系,陕西西安710061

出　　处：《西安邮电学院学报》2005年第1期113-116,共4页Journal of Xi'an Institute of Posts and Telecommunications

摘　　要：交易费用是证券投资过程中的一个重要问题,也是投资者在金融市场所要考虑的一个重要因素,忽视交易费用的存在也许将导致非有效的证券投资组合。本文分别给出了考虑交易费用的投资组合MV模型、MAD模型以及MM模型,对交易费用我们采用能反映交易费用边际特征的非线性凹函数,讨论模型的特点,并对相应模型的求解方法进行讨论。Transaction costs are very important in security investment, and must be considered by investor in finance markets. Haling no consideration of transaction costs might lead to invalid portfolios. In this paper we present three portfolio models, MV model, MAD model and MM model, in which transaction costs are taken into account. For the transaction costs, we employed a nonlinear concave function which could reflect the margin feature of transaction costs well. Characteristics of these models and solution methods are discussed.

关 键 词：投资组合模型 风险度量 交易费用 

分 类 号：F830.59[经济管理—金融学]