有交易费的β值证券组合投资模型  

β-value Portfolio Investment Model with TransactionCosts

作　　者：韩瑞娜[1] 邢培旭[2] 

机构地区：[1]郑州旅游职业学院理科基础部,450009 [2]郑州轻工业学院数学与信息科学系,450002

出　　处：《中国科技信息》2008年第3期142-142,145,共2页China Science and Technology Information

摘　　要：由于传统的马克威茨模型的计算量大,且没有考虑交易费,而β值证券组合投资模型具有需要确定的参数少,计算量小的优点,本文建立了考虑交易费的β值证券组合投资模型,并进行求解。The computation of classic Markowltz＇ model is very large,and transaction costs is not considered.But the mondl of portfoli Investment with β-value has less parameters need to determine and advantages of a small amoumt of calculation.The model of portfolio Investment with β-value which we consider transaction costs is established and the solutions is given in this paper.

关 键 词：交易费 β值 证券组合投资 

分 类 号：F830.91[经济管理—金融学] F224