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由于大宗交易下边际交易费用递减,因此用线性加凹的函数拟合实际交易费用函数,建立了均值-方差框架下的组合优化模型并给出了相应的求解算法.通过对恒生指数样本股的实证分析发现:考虑大宗交易的组合有效边缘介于线性交易费用和无交易费用的组合有效边缘之间;大宗交易稀释了“分散化降低风险”的效应;大宗交易下交易费用越大,相对于线性交易费用而言组合集中度越高.
Due to the diminishing cost of the marginal transaction under the block transaction, the linear transaction function is fitted with the linear function of concave function, and the combinatorial optimization model under the mean-variance framework is established and the corresponding algorithm is given. The empirical analysis shows that: the effective edge of the portfolio considering the block trades is between the portfolio effective edge of the linear transaction cost and the non-transaction cost; the blockbuster transaction dilutes the effect of “diversification and risk reduction”; the larger transaction costs under the block transaction, Portfolio concentration is higher relative to linear transaction costs.