摩擦市场上最优投资组合的一种数值解法

在实际的证券交易市场上存在着诸如交易费用、税收等摩擦.投资者在交易的过程中,不可避免的要受到市场摩擦的影响.作者以投资者为了获取最大的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,并提出一种适用于此类模型求解的内点算法,同时也给出了算法的具体实现步骤和一个具体的算例.

Numerical method for optimal porffofio selection in stock market with frictions

There are frictions in real stock market such as transaction costs and taxes, etc. The optimal portfolio selection should be affected by market frictions definitely. In this paper, we took the maximum utility of the investor as the objective function and we presented an infeasible interior point algorithm for quadratic programming to solve the proposed model. The optimal solution and the steps of applied algorithm were presented also