Portfolio optimization model with transaction costs

被引：0

作者：

Chen S.-P. ^{[1
]}

Li C. ^{[2
]}

Li S.-H. ^{[1
]}

Wu X.-W. ^{[1
]}

机构：

[1] Department of Applied Mathematics, Zhejiang University

[2] Department of Applied Mathematics, Southeast University

来源：

Acta Mathematicae Applicatae Sinica | 2002年 / 18卷 / 2期

基金：

中国国家自然科学基金;

关键词：

Algorithm; Portfolio optimization model; Transaction cost;

D O I：

10.1007/s102550200022

中图分类号：

学科分类号：

摘要：

The purpose of the article is to formulate, under the l∞ risk measure, a model of portfolio selection with transaction costs and then investigate the optimal strategy within the proposed. The characterization of a optimal strategy and the efficient algorithm for finding the optimal strategy are given. © Springer-Verlag 2002.

引用

页码：231 / 248

页数：17

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