Optimal portfolio selection of assets with transaction costs and no short sales

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	Optimal portfolio selection of assets with transaction costs and no short sales
	Li, ZF ; Li, ZX ; Wang, SY ; Deng, XT
	2001-05-01
发表期刊	INTERNATIONAL JOURNAL OF SYSTEMS SCIENCE
ISSN	0020-7721
卷号	32 期号:5 页码:599-607
摘要	In this paper we study the optimal portfolio selection problem for assets. A double-objective programming model is first formulated for selecting optimal portfolios of asserts with transaction costs and taxes, where short sales and borrowings are not allowed. Some properties of efficient portfolios and the efficient frontier to the model are then derived. Based on these results, an interactive method that requires only paired preference comparison from the investor is established for solving the optimal portfolio selection problem. A numerical example is also presented to illustrate this method.
语种	英语
WOS研究方向	Automation & Control Systems ; Computer Science ; Operations Research & Management Science
WOS类目	Automation & Control Systems ; Computer Science, Theory & Methods ; Operations Research & Management Science
WOS记录号	WOS:000169134400007
出版者	TAYLOR & FRANCIS LTD
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/16121
专题	中国科学院数学与系统科学研究院
通讯作者	Li, ZF
作者单位	1.Zhongshan Univ, Lingnan Univ Coll, Dept Finance, Guangzhou 510275, Peoples R China 2.Chinese Acad Sci, Acad Math & Syst Sci, Inst Syst Sci, Beijing 100080, Peoples R China 3.City Univ Hong Kong, Dept Comp Sci, Kowloon, Hong Kong, Peoples R China
推荐引用方式 GB/T 7714	Li, ZF,Li, ZX,Wang, SY,et al. Optimal portfolio selection of assets with transaction costs and no short sales[J]. INTERNATIONAL JOURNAL OF SYSTEMS SCIENCE,2001,32(5):599-607.
APA	Li, ZF,Li, ZX,Wang, SY,&Deng, XT.(2001).Optimal portfolio selection of assets with transaction costs and no short sales.INTERNATIONAL JOURNAL OF SYSTEMS SCIENCE,32(5),599-607.
MLA	Li, ZF,et al."Optimal portfolio selection of assets with transaction costs and no short sales".INTERNATIONAL JOURNAL OF SYSTEMS SCIENCE 32.5(2001):599-607.