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分析了交易成本在证券组合投资中的作用 ,建立了考虑交易成本组合投资最优化模型 ;讨论了交易成本对有效边界的影响 ,给出最优投资比例公式 ;并讨论了有无风险证券加入证券组合时的投资有效边界 ;最后通过释例进行了说明 .
The paper also analyzes the function of transaction cost in portfolio investment and establishes an optimization model of portfolio investment considering transaction costs. It also discusses the influence of transaction costs on effective boundaries and gives the optimal investment proportion formula. It also discusses whether risk-free securities are added to securities Portfolio effective border of investment; Finally, the explanation by the example.