负债下摩擦市场不允许卖空时的最优投资组合  

Optimal Portfolio Selection of Friction Market in Case of No Short Sales under Liability

作　　者：唐俊[1] 丁立刚[1] 

机构地区：[1]内蒙古科技大学理学院,内蒙古包头014010

出　　处：《内蒙古大学学报（自然科学版）》2007年第5期485-489,共5页Journal of Inner Mongolia University：Natural Science Edition

基　　金：内蒙古科技大学校内基金项目

摘　　要：用极大极小模型讨论了在负债下,存在税收、红利和交易费等摩擦因素影响时不允许卖空时的两阶段投资组合最优化选择问题,分析了该模型的某些特征.尤其是,当风险资产互不相关时给出了解的表达式和一个有效的算法.The optimal portfolio selection of friction market in case of no short sales is discussed under liability. The two-period mean-variance models with tax ,dividend and transaction costs under liability are established by using a minimax method,and the mathematic characteristics of the model is analyzed. Especially,the case in which the variance-covariance matrix is diagonal is introduced and its solution expression and an efficient algorithm are given.

关 键 词：摩擦市场 交易费 极大极小模型 

分 类 号：F830.9[经济管理—金融学] F224