考虑交易成本的投资组合效率估计方法

doi:10.16381/j.cnki.issn1003-207x.2015.01.004

Abstract

Abstract: Portfolio performance is an academic hotspot for researchers. Within the classical framework of economics, the definition of portfolio efficiency is provided based on the efficient frontier. However, in practical situations, the portfolio optimization models are usually very complicated, and thus the analytical solutions of frontier are very difficult to obtain. Under the assumption that the real efficient frontier is a concave function, DEA model is adopted to approximate the real frontier and portfolio efficiencies. The problem of evaluating the portfolio efficiency on considering transaction costs is examined. In the end, some examples are presented to show the practicality and feasibility of the proposed approach.

Key words: portfolio efficiency, efficient frontier, data envelopment analysis, transaction costs

CLC Number:

F830.59

ZHOU Zhong-bao, DING Hui, MA Chao-qun, WANG Mei, LIU Wen-bin. Technical Efficiency Evaluation Approach for Portfolios with Transaction Costs[J]. Chinese Journal of Management Science, 2015, 23(1): 25-33.

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Technical Efficiency Evaluation Approach for Portfolios with Transaction Costs

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