Transaction Costs Of Portfolio Investment Model

Nowdays, the portfolio investment is becoming one of financial hotspots. But most research results are gained without transaction costs . Transaction costs can't be parried from investment research. In practice, investor will get invalid portfolio without taking into account transaction costs. Without transaction costs, portfolio will be out of effect.Transaction costs is that investor need to hand in when he invest, it contains printing costs (investor hands it to country) and commission (investor hands it to bourse)The paper focuses on research about portfolio model with transaction costs. When the covariance matrix formed by securities yields is positive definite ,we provide the model with transaction costs, the risk is B index risk, researching the model under short sale and no short sale separately. When the covariance matrix formed by securities yields is non-oppositive definite , we provide the model with transaction costs, which risk is variance matrix risk .When the covariance matrix formed by securities yields is not exist, the risk we use is absolute deviation risk and semi-absolute deviation, which is differ with traditional risk such as variance matrix risk or semi- variance matrix risk. At last we provide the model with transaction costs with a view to the capital is large enough .We linearize transaction costs function to linear function, then we research the model.