Portfolio Model Based On Transaction Costs

Rational use ofPortfolio model can win over more investment opportunities., fully use the funds and achieve the aim of Returns biggest and Volatility minimum. Here, we start from classics Portfolio model to introduce some Portfolio models under transaction costs. The gradual improvement of model in order to better react investment behavior to get the most effective investment strategy,which facilitates to analyze the returns and risk of relationshipThis paper is a summarization of Securities investment combination model. Markowitzpublished paper at 1952 which marked the birth of modern portfolio theory. Firstly this paper reviews the 1960s classic model portfolio, Including Markowitz's mean variance model dimension,Sharpe.Willian's single exponential model,famous capital asset pricing model,arbitrage model and multiperiod mean-variance formulation.. Later on the basis of the classical model to improve, to put forward a series of investment model with transaction costs. Including with transaction costs without risk of securities investment model: Additional investments with transaction costs ofthe model: Dynamic programming method under the transaction costs from financing investment:This can translate intoModel based on absolute deviation depicting the transaction costs under investmentmodel:Then through an introduction of Instance, compare the two models to achieve accurate relationship of risk and return. Based on semi-absolute deviation depicting the transaction costs under investment model:Smad(x) is the risk function with semi-absolute deviation depicting the transaction costs which Speranza put forward.Bring in risk function, it can translate into linear programming problem:Based on minimax semi-absolute deviation depicting the transaction costs under investment model: minimaxSmad(x) is the risk function with minimax semi-absolute deviation depicting the transaction costsTranslate into linear programming problem:...