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本文在基于风险资产的价格服从梯形可能性分布的基础上,引入流动性约束、保证金限制、交易成本和存贷利差等因素,建立了多空投资组合模型。利用非线性规划理论和极大熵方法,给出了求解该模型的一种方法。最后,通过实例验证了主要结果并分析了流动性约束、保证金、交易费和存贷利差等因素对投资组合有效前沿的影响。
Based on the assumption that the price of risky asset follows the distribution of trapezoidal probability, this paper introduces the factors of liquidity constraints, margin constraints, transaction costs and deposit and lending spreads, and establishes a long and short investment portfolio model. A method of solving this model is given by using nonlinear programming theory and maximum entropy method. Finally, the main results are verified by examples and the influence of liquidity constraints, margin, transaction costs and deposit and lending spreads on the effective frontier of portfolio is analyzed.