具有资本结构因子和交易成本的证券组合投资模型

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

Previous Articles Next Articles

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.

[1]	Liu Gan, Yingli Cai, Mingyu Xu, Yingxian Tan. Information Acquisition in Secondary Market and Convertible Bond Financing [J]. Chinese Journal of Management Science, 2025, 33(9): 22-32.
[2]	Yajuan Wang, Yanyan Nie, Xianjia Wang. Transportation Service Procurement Mechanism for Cold Chain Logistics Based on Multi-Attribute Online Double Auction [J]. Chinese Journal of Management Science, 2025, 33(7): 253-261.
[3]	Zhong Shen,Xingmei Li. An Expanded Model for Project Portfolio Selection with Considering of Three Synergies [J]. Chinese Journal of Management Science, 2024, 32(8): 139-148.
[4]	Lu Wen,Ling Feng. Research on Optimal Capital Structure and Default Risk of Banks under Rigid Payment [J]. Chinese Journal of Management Science, 2024, 32(1): 42-53.
[5]	ZHAO Da-ping, BAI Lin, FANG Yong, WANG Shou-yang. A Robust Portfolio Selection Model Based on Investor’s Views [J]. Chinese Journal of Management Science, 2022, 30(9): 1-9.
[6]	ZHANG Yong, LONG Wan-rong, YANG Xing-yu, ZHANG Wei-guo. Improved Exponential Gradient Portfolio Strategy Based on Online Algorithm [J]. Chinese Journal of Management Science, 2022, 30(9): 49-60.
[7]	ZHANG Peng, LI Ying, ZENG Yong-quan. Time-consistent Strategy for Themultiperiod Fuzzy Portfolio Selection with Real Constraints [J]. Chinese Journal of Management Science, 2022, 30(4): 42-51.
[8]	ZENG Yong-quan, ZHANG Peng. Multi-period Mean-semi-absolute Deviation Portfolio Selection with Entropy Constraint [J]. Chinese Journal of Management Science, 2021, 29(9): 36-43.
[9]	MA Shao-yi, LI Xing-mei, LI Jin-meng. Research on Project Portfolio Selection Problem Affected by Flexible Time Horizon and Value Fluctuation [J]. Chinese Journal of Management Science, 2021, 29(8): 106-115.
[10]	QI Yue, LIAO Ke-zhi. Research on the Diversification Benefits of Commodity Futures under the Background of Commodity Financialization [J]. Chinese Journal of Management Science, 2021, 29(6): 10-22.
[11]	ZHANG Peng, ZENG Yong-quan. Multiperiod Mean Semi-absolute Deviation Portfolio Selection with Total Short Selling Constraints [J]. Chinese Journal of Management Science, 2021, 29(6): 60-69.
[12]	XU Qi-fa, LIU Shu-ting, JIANG Cui-xia. Portfolio Selection with Conditional Skewness Estimated via MIDAS Quantile Regressions [J]. Chinese Journal of Management Science, 2021, 29(3): 24-36.
[13]	ZHANG Yue-song, SONG Dan-dan, CHEN Biao. Convertible Debt and Capital Structure with Debt Renegotiation Covenant [J]. Chinese Journal of Management Science, 2020, 28(9): 1-11.
[14]	MA Jing-yi, ZHANG Zhi-hao, WU Jia-bao, LEI Xue-fei. An Enhanced Index Tracking Model based on Asymmetric Active Risk and Its Application [J]. Chinese Journal of Management Science, 2020, 28(8): 42-51.
[15]	TAN Ying-xian, YANG Zhao-jun. Quantitative Study for Debt-to-equity Swaps Based on Debt Renegotiation [J]. Chinese Journal of Management Science, 2019, 27(4): 13-24.

Model of Portfolio Selection with Transaction Costs in Varying Capital Structure

PDF (PC)

Knowledge

Cited

Abstract

Cite this article

share this article

References

Related Articles 15

Metrics

Comments

Recommended 0