| 带交易费用投资组合问题的动态规划方法 |
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| 引用本文： | 花秋玲,苏孟龙,吕显瑞,王锐.带交易费用投资组合问题的动态规划方法[J].吉林大学学报(理学版),2009,47(5):893-898. |
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| 作者姓名： | 花秋玲 苏孟龙 吕显瑞 王锐 |
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| 作者单位： | 1. 吉林大学 数学学院, 长春 130012,2. 长春理工大学 理学院, 长春 130022,3. 洛阳师范学院 数学学院, 河南 洛阳 471022 |
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| 摘 要： | 利用动态规划方法解决带交易费用的均差模型, 给出了有交易费用均差模型的解析解, 所得结果应用方便, 对投资者的实际投资交易有一定的指导意义.
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| 关 键 词： | 投资组合 均差模型 动态规划 |
| 收稿时间： | 2008-11-18 |
Dynamic Programming Method for Solving the Portfolio Problem under Transaction Costs |
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| HUA Qiu-ling,SU Meng-long,LV Xian-rui,WANG Rui.Dynamic Programming Method for Solving the Portfolio Problem under Transaction Costs[J].Journal of Jilin University: Sci Ed,2009,47(5):893-898. |
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| Authors: | HUA Qiu-ling SU Meng-long LV Xian-rui WANG Rui |
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| Affiliation: | 1. College of Mathematics, Jilin University, Changchun 130012, China;2. School of Science, Changchun University of Science and Technology, Changchun 130022, China;3. College of Mathematics, Luoyang Normal University, Luoyang 471022, Henan Province, China |
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| Abstract: | The analytical solution of the mean-variance model under transaction costs is deduced by means of dynamic programming.The results are very important for the investors in the trade and the analytical solution in this paper makes the investment easier. |
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| Keywords: | investment portfolio mean-variance model dynamic programming |
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