含交易费用和机会约束的投资组合模型  

Chance-constrained portfolio model with transaction costs

作　　者：陈静[1] 李磊[2] 倪明放[2] 

机构地区：[1]金陵科技学院公共基础课部,江苏南京211169 [2]中国人民解放军理工大学通信工程学院,江苏南京210007

出　　处：《广州大学学报（自然科学版）》2008年第6期30-33,共4页Journal of Guangzhou University:Natural Science Edition

基　　金：江苏省高校自然科学基金资助项目(06KJD110068)

摘　　要：在证券收益率服从正态分布的前提下,建立了有交易费用存在时的机会约束下的均值-标准差投资组合模型,讨论了最优解的存在性和唯一性.然后在均值-方差模型有效边界的基础上引入机会约束,得到了该模型的有效边界及其最优解,最后举例予以说明.Under the assumption that the rates of return of portfolio are normal random variables, a mean-variance portfolio model with transaction costs under constraint of investment chance is established. Existence and uniqueness of the model＇ s optimal solution are discussed. On the basis of mean-variance model＇ s effective border, the constraint of investment chance is introduced, and the model＇ s effective border and the optimal solution are obtained. Finally, an illustrative example is provided.

关 键 词：交易费用 机会约束 投资组合 

分 类 号：O221[理学—运筹学与控制论] F224[理学—数学]