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【期刊论文】奇异方差一协方差矩阵的n种风险资产有效边界的特征①
李仲飞, 姚海祥, 易建新
奇异方差一协方差矩阵的n种风险资产有效边界的特征,2005,(1):107~113,-0001,():
-1年11月30日
本文利用均值一方差模型,用新的方法在无套利假设下研究了当方差一协方差矩阵是奇异时n种风险资产投资组合有效边界的本质特征,并提出了有效的、操作性强的投资策略。
投资组合, 有效边界, 方差一协方差矩阵, 线性相关, 线性表出
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李仲飞, XIAOTIE DENG, ZHONG FEI LI**, SHOUYANG WANG, HAILIANG YANG
Annals of Operations Research 133, 265-276, 2005,-0001,():
-1年11月30日
In this paper we consider a financial market model with frictions which include transaction costs, bid-ask spread and taxes. By using optimization, linear and nonlinear programming and convex programming techniques, several necessary and sufficient conditions are derived for the weak no-arbitrage. Some results on state prices are also provided. The results of this paper can provide at least some theoretical insight to the problem.
weak no-arbitrage,, transaction costs,, bid-ask spread,, taxes,, nonlinear programming
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【期刊论文】A linear programming algorithm for optimal portfolio selection with transaction costs
李仲飞, Zhong-Fei Li, Shou-Yang Wang and Xiao-Tie Deng
International Journal of Systems Science, 2000, volume 31, number 1, pages 107-117,-0001,():
-1年11月30日
We study the optimal portfolio selection problem with transaction costs. In general, the ecient frontier can be determined by solving a parametric non-quadratic programming problem. In a general setting, the transaction cost is a V-shaped function of dierence between the existing and the new portfolio. We show how to transform this problem into a quadratic programming model. Hence a linear programming algorithm is applicable by establishing a linear approximation on the utility function of return and variance.
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