具有资本结构因子和交易成本的证券组合投资模型

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Chinese Journal of Management Science ›› 2007, Vol. 15 ›› Issue (3): 14-18.

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Model of Portfolio Selection with Transaction Costs in Varying Capital Structure

LI Hong-jie^1,2

1. College of Information Science and Technology, Donghua University, Shanghai 200051, China;
2. Department of Mathematics, Jiaxing College, Jiaxing 314001, China

Received:2006-04-10 Revised:2007-03-23 Online:2007-06-30 Published:2007-06-30

Abstract

Abstract: In this paper,the impact of friction factors and transaction costs on portfolio optimization are studied.The author establishes an optimization model of portfolio investment with transaction costs and friction factors,as the risk security and non-risk security are considered,and gives the portfolio and the efficient frontier of that model,and discusses the influence of transaction costs and friction factors on the efficient frontier.

Key words: portfolio selection, capital structure, transaction cost, efficient frontier

CLC Number:

O221
F830.9

LI Hong-jie. Model of Portfolio Selection with Transaction Costs in Varying Capital Structure[J]. Chinese Journal of Management Science, 2007, 15(3): 14-18.

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Model of Portfolio Selection with Transaction Costs in Varying Capital Structure

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