J4 ›› 2009, Vol. 47 ›› Issue (05): 893-898.

Previous Articles     Next Articles

Dynamic Programming Method for Solvingthe Portfolio Problem under Transaction Costs

HUA Qiuling1,2, SU Menglong3, LV  Xianrui1, WANG Rui1   

  1. 1. College of Mathematics, Jilin University, Changchun 130012, China;2. School of Science, Changchun University of Science and Technology, Changchun 130022, China;3. College of Mathematics, Luoyang Normal University, Luoyang 471022, Henan Province, China
  • Received:2008-11-18 Online:2009-09-26 Published:2009-11-03
  • Contact: LV Xianrui E-mail:lvxr@jlu.edu.cn.

PDF (PC)

522

Like

Abstract:

The analytical solution of the meanvariance model under transaction costs is deduced by means of dynamic programming. The results are very important for the investors in the trade and the analytical solution in this paper makes the investment easier.

Key words: investment portfolio, meanvariance model, dynamic programming

CLC Number: 

  • O221.3
Copyright © Journal of Jilin University Science Edition, All Rights Reserved.
Tel: +86-431-88499428　E-mail: sejuj@jlu.edu.cn
Powered by Beijing Magtech Co. Ltd