不同借贷利率下含有交易成本的投资组合模型  

The Model of Portfolio Selection with Transaction Costs under Different Lending Rates

作　　者：李宏杰[1] 肖杰胜[1] 刘海东[1] 潘根梅[1] 

机构地区：[1]嘉兴学院数学与信息工程学院,浙江嘉兴314001

出　　处：《嘉兴学院学报》2009年第5期51-58,共8页Journal of Jiaxing University

摘　　要：建立了不同借贷利率下含有交易成本的证券组合最优化模型,分别给出了最优投资策略及有效边界的解析表达式,并讨论了交易成本对有效边界的影响,结果表明,不同借贷利率下含有交易成本的有效边界由线段、双曲线段及射线上的点组成的集合;最后进行了实例分析。This paper establishes the most optimized investment portfolio model with transaction costs under different lending rates.The optimal strategies and the analytical expressions of efficient frontier are obtained respectively.Moreover,the paper discusses the influences of different transaction costs on the efficient frontier.The results show that the efficient frontier is a set which consists of the line segment,the hyperbola segment and the radial points.Finally,a numerical example is provided to demonstrate the effectiveness of the proposed results.

关 键 词：KUHN-TUCKER条件 借贷利差 交易成本 有效边界 

分 类 号：F830[经济管理—金融学]