摩擦市场上允许买空卖空的投资组合问题

证券交易市场上存在着诸如交易费用、税收等摩擦.投资者在交易过程中,不可避免地要受到市场摩擦的影响.本文以投资者所获取的最大投资效用为目标函数,建立了摩擦市场上最优投资组合问题的数学模型;同时对于之前解决此类问题的很多文章中“证券市场不允许买空卖空风险资产和借贷无风险资产”的假设条件做了扩展,得到一个摩擦市场上适用于“允许买空卖空或借贷”的证券投资组合的二次规划模型.

The Portfolio Selection Problem in Frictional Market Allowing Short Sale

There exist frictions such as transaction costs,taxes in stock market.The investors will be affected by these frictions in their investment decision.In this paper,we propose a mathematical model for optimal portfolio selection problem with market frictions,using investors maximal utility as objective function.We also discuss the portfolio selection model which includes market frictions and short sales.This model can be formulated as a convex quadratic programming problem.We propose a path-following algorithm for solving this model.