Portfolio With Transaction Costs And The Effect Analysis Of Factors On The Cross-section Return Rates

Two important themes are discussed in the capital market : one is how to obtain the optimal portfolio to the existing capital under some constrained condition ,and the other one is how to determine which ones can influence the return rates .The first one belongs to portfolio problem and the second one is about CAPM and extended problem. First, we will study the chance-constrained portfolio problem with transaction costs under the foundation of the standard mean-variance model.Existence and uniqueness of the optimal solution are discussed.And further more the explicit representation of the optimal solution is obtained. On the other hand,we study the effect of market factors on the cross-section expected return rates.Under considering economic cycle factor ,many factors that are market capitalization,the circulating market capitalization,price-to-earings ratios,turnover rates,transaction volume,price and circulating market capitalization ratio,are studied to determine if they have effects on cross-section expected return rates, by using Fama-MacBeth regression.By analyzing we find that market risk Beta has little effects on cross-section expected return rates,but market capitalization,the circulating market capitalization,price-to-earings ratios,turnover rates and price have obvious effects, and the effects can't be explained by market risk Beta in the whole data area.By analyzing multifactor model,we find that only price and the circulating market capitalization have explanation ability to the cross-section returns and other factor's explanation ability can be explained by them .At the same time ,we find that the circulating market capitalization and transaction volume have joint explanation ability.When we divide the market into up market and down market, we find that only price and market risk Beta have significant effects in the up market ,but market risk Beta has no effects in the down market .We also find that the circulating market capitalization and price have significant explanation ability and further more transaction volume and the circulating market capitalization have joint explanation ability in the down market.The empirical conclusion have the practical reference to the investor and investment organization in this paper .