Abstract：This article focuses on the selection of the optimal portfolio when the market is not perfect and the friction exists, which includes trade fees and the tax revenue. It has proved several important properties of the Markowitz's model in such frictional market with the restriction of no permission of short sale. To solve the difficulty of implicit utility functions, it uses the interactive method to search the optimal portfolio.
收稿日期: 2003-02-25
引用本文:
郭思培,何穗. 一类摩擦市场的最优投资组合及其算法研究[J]. , 2003, 42(2): 0-0.
郭思培,何穗. The optimal portfolio in the frictional market and its algorithm. , 2003, 42(2): 0-0.
