摘要
建立了含有资本结构因子、交易成本和风险偏好的模糊最优化投资模型,在允许卖空条件下,给出最优投资策略及有效边界;在不允许卖空条件下,给出了确定其有效边界的算法,并分析了风险偏好、无风险利率和交易成本对有效边界的影响,最后通过示例进行了分析.
The fuzzy optimization portfolio models are established with captical, structure and transaction costs and risk aversion, the paper gives the optimical portfolio and the efficient frontier in the condition of short selling. The algorithm of the efficient frontier is given in the condition of denying short selling, the paper discusses the influence to efficient frontier when risk aversion and transaction costs and risk-free are changed. At last, a example is given.
出处
《数学的实践与认识》
CSCD
北大核心
2008年第21期36-43,共8页
Mathematics in Practice and Theory
基金
浙江省教育厅资助项目(20041121)
关键词
隶属函数
资本结构因子
交易成本
有效边界
卖空
membership function
capital structure
transaction cost
efficient frontier
short selling
