| 负债下摩擦市场允许卖空时的最优投资组合 |
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| 引用本文： | 唐俊,丁立刚,魏福红,张景. 负债下摩擦市场允许卖空时的最优投资组合[J]. 包头钢铁学院学报, 2006, 25(3): 292-295 |
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| 作者姓名： | 唐俊 丁立刚 魏福红 张景 |
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| 作者单位： | 内蒙古科技大学理学院 内蒙古包头014010 |
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| 摘 要： | 着眼于现实的金融市场,用极大极小模型讨论了负债条件下,并存在税收、红利和交易费等摩擦因素影响的单阶段投资组合最优化选择问题,给出了允许卖空时解的一些结果和有效前沿的表达式.
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| 关 键 词： | 摩擦市场 有效前沿 交易费 极大极小模型 负债 摩擦市场 允许卖空 最优投资组合 liability short case market friction portfolio selection 表达式 有效前沿 结果 选择问题 组合最优化 阶段投资 影响 摩擦因素 交易 红利 |
| 文章编号： | 1004-9762(2006)003-0292-04 |
| 修稿时间： | 2006-03-11 |
Optimal portfolio selection of friction market in the case of short sales under liability |
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| TANG Jun,DING Li-gang,WEI Fu-hong,ZHANG Jing. Optimal portfolio selection of friction market in the case of short sales under liability[J]. Journal of Baotou University of Iron and Steel Technology, 2006, 25(3): 292-295 |
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| Authors: | TANG Jun DING Li-gang WEI Fu-hong ZHANG Jing |
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| Abstract: | The optimal portfolio selection of friction market in the case of short sales under liability was dealt with.The minimax method was used to establish two-period mean-variance models with tax,dividend and transaction costs under liability.The analytical expressions of optimal portfolios and efficient frontiers were also presented on the basis of these models. |
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| Keywords: | friction market efficient frontiers transaction costs minimax method |
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