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Portfolio Model Based on Transaction Costs

Author: WangRui
Tutor: LvXianRui
School: Jilin University
Course: Applied Mathematics
Keywords: Investment Model Transaction costs Hazard function
CLC: F832.51
Type: Master's thesis
Year: 2011
Downloads: 87
Quote: 0
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Abstract


The reasonable application portfolio model can secure more investment opportunities , and achieve the purpose of the maximum rate of return , volatility minimum here , we start from the classic portfolio model portfolio model with transaction costs , making the model gradually refined and improved , in order to be able to more realistic reaction investment behavior , in order to get the most effective investment strategies to facilitate the analysis of the benefits and risks of relationship This article is an overview of the securities portfolio model .1952 , Markowitz published , marking the birth of modern portfolio theory to Willian the et al Sharpe, Jan Mossion , the capital asset pricing model , based on its assumptions too strict, so Ross arbitrage pricing model 1976 First This paper reviews the sixties and seventies of the last century, the classic portfolio model , Markowitz mean - variance model , Sharp single exponential model , the famous capital asset pricing model , arbitrage model and multi- cycle optimal choice under mean-variance model after article describes a series of investment model with transaction costs . including with transaction costs , risk-free securities investment model : additional investment model with transaction costs under the dynamic programming method , since the transaction costs of financing investment model because using dynamic programming methods can not directly solve the above problems , so we chose to translate into the following auxiliary problem : after transaction costs based on the absolute deviation investment model by introducing an empirical example , compare the mean - variance model and absolute deviation with transaction costs investment model , to get a more accurate and realistic income risk relationship with transaction costs mean - semi- absolute deviation model where the Smad (x) is the semi - absolute deviation risk function Speranza proposed the introduction of a risk - function into a linear programming problem : with the mean value of the transaction costs --- minimax semi - absolute deviation portfolio model which minimaxSmad (x) is the minimax semi- absolute deviation risk function into a linear programming problem :

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CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Financial market
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