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本文在包含无风险证券且不考虑交易成本的前提下,在渐近收益率概念的基础上,提出了证券组合渐近有效边界的概念并给出其确定方法。 一、无交易成本连续时间证券组合最优化 假设每次交易不需要支付任何交易成本,不允许卖空。经过一定的筛选,选择投资对象为m种有风险股票和一种无风险债券,目标函数不考虑消费,只考虑投资总值最大化。无交易成本连续时间证券组合最优化随机模型为:
Based on the concept of asymptotic rate of return, this paper proposes the concept of asymptotic efficient portfolio of securities portfolio and gives the method of determining the risk-free securities without considering the transaction costs. First, no transaction costs Continuous portfolio optimization The optimal assumption that each transaction does not need to pay any transaction costs, not allowed to short. After a certain screening, the investment object is selected as m kinds of risky stocks and a risk-free bond, the objective function does not consider consumption, only consider the total investment value maximization. No transaction costs continuous portfolio optimization stochastic model is: