Mean - Variance Model Of Investment In Securities Selected For Further Study

The first part of the present paper is preliminaries. At second part we give a new nonlinear transaction costs function, and examine the efficient frontier of the mutual funds portfolio in a mean-variance model, Meanwhile, we discuss the optimal portfolio and the maximal utility under the general utility functions, in the case only thinks of the effect of risky assets' investment-proportion to the transaction costs.At the third part, under the arbitrage-free market hypothesis the paper uses the new method to examine the efficient frontier feature and the investment strategies of n kinds risky assets portfolio in a mean-variance model, also introduces and proves the analogous two fund separation theorem, in the case their variance-covariance matrix is singular.