学术
国际标准刊号：ISSN 0490-6756
国内统一刊号：CN 51-1595
摘 要:
通过在经典的投资组合Markowitz均值-方差模型基础上引入资本结构因子和交易成本系数，建立了考虑交易成本和资本结构因子的投资组合最优化模型，给出了最优投资比例公式，讨论了交易成本及资本结构变化对有效边界的影响．最后通过实例进行了说明．[著者文摘]
文章出处:
《四川大学学报：自然科学版》-2005年42卷4期 -639-643页
Journal of Sichuan University (Natural Science Edition)
文献标识码:
A
文章编号:
0490-6756（2005）04-0639-05
[参考文献]
An Extended Model of Portfolio Selection with Transaction Costs in Varying Capital Structure
Wu Meng;Huang NaJing;Zhao ChangWen
Abstract:
In this paper, the impact of friction factors and transaction costs on portfolio optimization are studled. The authors establish the optimization model of portfolio investment with transaction costs and friction factors, get the results and methods of that model, and discuss the influence of transaction costs and friction factors to the efficient frontier. Finally, they give an illustration to show their application.
Key words:
portfolio selection; capital structure; transaction cost; efficient frontier
收稿日期: 2004-01-12
基金资助:
教育部高等学校博士学科点基金项目（20020610053）
更多评论>>文章评论
更多>>免费文章
cqvip.com