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2004•Unpublished venueRequires access

Study on the efficient frontier characters of portfolio

Yingying Xu

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Abstract

On the base of Markowitz' s model, the efficient frontier of portfolio with transaction cost and preference of risk is studied. Some characters on the efficient frontier of portfolio are achieved. By comparing with the position of the efficient frontier without transaction cost in the plane (σp2, Rp), the conclusions that the efficient frontiers with transaction cost drift in a up-right direction and its opening is correspondingly shrinking are obtained.

About this research paper

What this paper is about

On the base of Markowitz' s model, the efficient frontier of portfolio with transaction cost and preference of risk is studied. Some characters on the efficient frontier of portfolio are achieved. By comparing with the position of the efficient frontier without transaction cost in the plane (σp2, Rp), the conclusions that the efficient frontiers with transaction cost drift in a up-right direction and its opening is correspondingly shrinking are obtained.

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Available abstract

On the base of Markowitz' s model, the efficient frontier of portfolio with transaction cost and preference of risk is studied. Some characters on the efficient frontier of portfolio are achieved. By comparing with the position of the efficient frontier without transaction cost in the plane (σp2, Rp), the conclusions that the efficient frontiers with transaction cost drift in a up-right direction and its opening is correspondingly shrinking are obtained.

Key concepts: Efficient frontier, Transaction cost, Portfolio, Frontier, Portfolio optimization, Economics, Position (finance), Database transaction

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