2005•Journal of North China Electric Power UniversityRequires access

Analysis of optimization of Portfolio Selection with Transaction Costs

Yong Peng

Abstract

Basing on traditional portfolio selection,gived the choice principle of portfolio selection. Established the model of portfolio selection.Giving the best portfolio selection of “limited the risk” and “preferred confficient”.the principle and adjusted project of portfolio selection of equal risk of “1imited the income”.The project was explained by instance.

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Key concepts: Portfolio, Selection (genetic algorithm), Portfolio optimization, Post-modern portfolio theory, Merton's portfolio problem, Application portfolio management, Transaction cost, Modern portfolio theory