In this paper,the typical transaction cost model with no-convex-no-concave function is introduced, and a portfolio management model with typical transaction cost is put forward. The influences of transaction cost models and risk levels on the effectiveness of portfolio are investigated through a numerical example.
Chun Feng WANG
, Jian Lin YANG
, Xin ZHAO. , {{custom_author.name_en}}.
The Portfolio Management Model with Typical Transaction Cost and Its Solution. Systems Engineering - Theory & Practice, 2002, 22(10): 134-138 https://doi.org/10.12011/1000-6788(2002)10-134