Mathematical Analysis Of The Portfolio Frontier In Friction Market

In the path-breaking work on portfolio selection, Markowitz developed the con-cept of an efficient portfolio in terms of the expected return and standard deviation ofreturn. From this time, the development of research on investment and risk manage-ment got into a new era. The original result of Markowitz's was derived in a discretetime, frictionless capital market. However, it may not be a valid representation of theworking of the marketplace. Therefore, we can not use this result to handle the con-crete financial problems due to the limitations of this result. The purpose of this paperis to consider a class of Markowitz portfolio optimization model with constraints rep-resenting so-called different borrowing and lending interest rates, transaction costs andfriction factors.In chapter 1, we introduce the classical portfolio selection model and show thebackground for application and the future of portfolio selection.In chapter 2, we introduce new results about portfolio and present some con-straints which in?uence the efficient frontier and extend the model.In chapter 3, we present some analytic results of solutions for this kind of ex-tended models and discuss the in?uence of constraints to the efficient frontier.