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本文考虑了摩擦市场下的多期证券投资组合选择问题,利用极小极大原理,建立了在含有机会成本和交易成本的多期极小极大投资组合选择模型.利用非线性规划相关理论,证明了该模型最优解的存在性,并利用凸规划相关理论与Kuhn-Tucker条件给出了求解该模型的一种方法,最后通过实例对结论进行了说明.
In this paper, we consider the problem of multi-period securities portfolio selection under the friction market, and use the minimax principle to establish a multi-period minimal maximal portfolio selection model with opportunity costs and transaction costs. By using the theory of nonlinear programming, The existence of the optimal solution of the model is proved. A method to solve the model is given by using convex programming theory and Kuhn-Tucker condition. Finally, the conclusion is illustrated through examples.