Improved Portfolio Optimization Model with Transaction Cost and Minimal Transaction Lots

Tian-Xiang Yao ； Zai-Wu Gong

《管理科學與統計決策》 7卷4期 (2010/12) Pp. 73-78

https://doi.org/10.6704/JMSSD.2010.7.4.73

並列摘要

This paper first changes the binary objective model into single objective model by adopting linear weighed method. When studying the minimal transaction lots, this paper studies the integral constraint and the different minimal transaction lots. When studying the transaction cost, this paper studies the different transaction cost ratio. The paper then studies the situation with new investment and the soft constraint. Finally the paper establishes the portfolio optimization model with transaction cost and minimal transaction lot and conducts empirical analysis to the real data of the Shanghai stock market.

並列關鍵字

Portfolio ； Transaction Cost ； Minimal Transaction Lots

參考文獻

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