| 摩擦市场下多阶段投资组合的均值方差模型 |
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| 引用本文： | 孙世杰,高岩.摩擦市场下多阶段投资组合的均值方差模型[J].上海理工大学学报(社会科学版),2008,30(4). |
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| 作者姓名： | 孙世杰 高岩 |
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| 作者单位： | 上海理工大学管理学院,上海200093 |
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| 基金项目： | 上海市重点学科建设资助项目(T0502); 上海市科委基础重点研究资助项目(06JC14057) |
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| 摘 要： | 研究税收、红利和新型交易成本下摩擦市场的多阶段均值-方差模型的投资组合问题。在允许卖空的情况下，以终端财富最大化为目标，通过建立辅助问题，利用逆序动态规划的求解方法，得到了各阶段的最优投资策略解析表达式，同时也得到了均值方差有效前沿的解析表达式。
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| 关 键 词： | 多阶段投资组合 动态规划 均值-方差模型 |
Optimal dynamic portfolio selection in a frictional market with mutiperiod mean-variance formulation |
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| SUN Shi-jie,GAO Yan.Optimal dynamic portfolio selection in a frictional market with mutiperiod mean-variance formulation[J].Journal of University of Shanghai For Science and Technilogy(Social Science),2008,30(4). |
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| Authors: | SUN Shi-jie GAO Yan |
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| Abstract: | The problem of multiperiod portfolio selection was dealt with under the mean-variance formulation in a frictional market with tax,bonus and new transaction costs.Targeting at the maximization of terminal wealth,the analytical solution of the optimal portfolio policy in each period was achieved via the technique of constructing the auxiliary problems and utilizing the method of inverse-order-solving algorithm of dynamic programming.Meanwhile the analytical expression of the mean-variance efficient frontier w... |
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| Keywords: | multiperiod portfolio selection dynamic programming mean-variance formulation |
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