摘要
用极大极小模型讨论了在负债下,存在税收、红利和交易费等摩擦因素影响时不允许卖空时的两阶段投资组合最优化选择问题,分析了该模型的某些特征.尤其是,当风险资产互不相关时给出了解的表达式和一个有效的算法.
The optimal portfolio selection of friction market in case of no short sales is discussed under liability. The two-period mean-variance models with tax ,dividend and transaction costs under liability are established by using a minimax method,and the mathematic characteristics of the model is analyzed. Especially,the case in which the variance-covariance matrix is diagonal is introduced and its solution expression and an efficient algorithm are given.
出处
《内蒙古大学学报（自然科学版）》
CAS
CSCD
北大核心
2007年第5期485-489,共5页
Journal of Inner Mongolia University：Natural Science Edition
基金
内蒙古科技大学校内基金项目
关键词
摩擦市场
交易费
极大极小模型
friction market
transaction costs
minimax method
