Research On Optimal Portfolio Under Friction Market

The optimization theory of portfolio studies that maximizing the investing benefit on basis of the minimized risk. Modern portfolio theory suggesting that, makes the financial investing theory change from the qualitative analysis stage to science quantitative analysis stage, and two finance happened in twenty centuries. This theory has been the frontier of today's investing theory as soon as coming into being, investing is already becoming a important component of our country economy life, so it is no doubt that studying deep this theory is of the significant practical meaning.Today portfolio has been a hot one of financial studies, due to many domestic and foreign scholars attention, and getting many research results. But most of the conclusions of the study did not consider transaction costs and taxes friction, and the actual investment portfolio, transaction costs and taxes are inevitable. Ignoring these friction conditions may lead to invalid portfolio. In this paper, under the friction conditions in the general market under the portfolio model are consider, the principal tasks :1 Studied with a V-type transaction costs mean-variance model, and promoting to more generally friction market conditions such as mean-variance model in the general market friction conditions and a convex cost of borrowing mean-variance model in the general market friction conditions and so on.2 In risk function as the absolute deviation and the average absolute deviation conditions, studying that the transaction fee for the V-friction in more general market conditions and the mean-variance absolute portfolio model and mean-average absolute variance vote portfolio model and empirical analysis.3 In the function of the transaction costs being concave function and more general market friction conditions, giving a algorithm of mean-absolute deviation model and the mean-average absolute deviation model under conditions.