The Portfolio Model under Constraint of Investment Chance and Taz Rate

摘要：

Under the assumption that short selling in the market conditions and the rates of portfolio are normal random variables, a mean-VaR portfolio model including tax rate under constraint of investment chance is established. Existence and uniqueness of the models optimal solution are discussed. And then the models effective border and the optimal solution are obtained.

关键词： portfolio taz rate constraint of investment chance

作者: Bing Xue Zhongbao Zhou

作者单位: School of Business Administration, Hunan University, Changsha 410082, P.R. China

会议类型: 国际会议

会议名称: The First World Congress on Global Optimization in Engineering & Science(第一届工程与科学全局优化国际会议 WCGO2009)

会议地点: 长沙

会议语种:英文

页码: 676-681

在线出版日期: 2009-06-01（万方平台首次上网日期，不代表论文的发表时间）