含交易费用的稳健最优投资组合  

Robust Optimal Investment Portfolio with Transaction Costs

作　　者：程亚平[1] 师恪[1] 

机构地区：[1]新疆大学数学与系统科学学院,新疆乌鲁木齐830046

出　　处：《成都大学学报（自然科学版）》2010年第4期352-354,360,共4页Journal of Chengdu University（Natural Science Edition）

摘　　要：在考虑投资组合问题时考虑了3方面的问题:交易费用和税收对投资组合选择的影响;假设风险资产和无风险资产收益的相关参数属于某个已知的凸多面体;讨论了存在风险资产和无风险资产情况下的稳健投资组合问题,并给出了问题的解析解.Three aspects were considered on investment portfolio：impacts of transaction costs and taxes on the choice of investment portfolio,hypothesis that correlated parameter between the earnings of risk assets and risk-free assets belong to some known convex polyhedron and analysis on robust investment portfolio with the condition of risk assets and risk-free assets respectively as well as their analytical solutions.

关 键 词：交易费用 最优投资组合 期望目标向量 稳健性 

分 类 号：F830.9[经济管理—金融学] O211.63[理学—概率论与数理统计]