2003Journal of systems engineeringRequires access

Research on securities investment with transaction costs

Rong Xi

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Abstract

In this paper, based on the analysis of Markowitz's portfolio selection model, authors discuss the importance of transaction cost and β coefficient in portfolio selection, establish portfolio selection model and β coefficient risk portfolio selection model with transaction cost which consider investor's preference of risk, give optimal investment tactics and efficient frontier, and discuss influence of transaction costs on investment tactics and efficient frontier of portfolio selection. Finally, authors give an illustration example to show their application.

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What this paper is about

In this paper, based on the analysis of Markowitz's portfolio selection model, authors discuss the importance of transaction cost and β coefficient in portfolio selection, establish portfolio selection model and β coefficient risk portfolio selection model with transaction cost which consider investor's preference of risk, give optimal investment tactics and efficient frontier, and discuss influence of transaction costs on investment tactics and efficient frontier of portfolio selection. Finally, authors give an illustration example to show their application.

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Available abstract

In this paper, based on the analysis of Markowitz's portfolio selection model, authors discuss the importance of transaction cost and β coefficient in portfolio selection, establish portfolio selection model and β coefficient risk portfolio selection model with transaction cost which consider investor's preference of risk, give optimal investment tactics and efficient frontier, and discuss influence of transaction costs on investment tactics and efficient frontier of portfolio selection. Finally, authors give an illustration example to show their application.

Key concepts: Transaction cost, Efficient frontier, Portfolio, Selection (genetic algorithm), Portfolio optimization, Application portfolio management, Investment (military), Merton's portfolio problem

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