Title: Research on securities investment with transaction costs
Abstract: In this paper, based on the analysis of Markowitz's portfolio selection model, authors discuss the importance of transaction cost and β coefficient in portfolio selection, establish portfolio selection model and β coefficient risk portfolio selection model with transaction cost which consider investor's preference of risk, give optimal investment tactics and efficient frontier, and discuss influence of transaction costs on investment tactics and efficient frontier of portfolio selection. Finally, authors give an illustration example to show their application.
Publication Year: 2003
Publication Date: 2003-01-01
Language: en
Type: article
Access and Citation
AI Researcher Chatbot
Get quick answers to your questions about the article from our AI researcher chatbot