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《Journal of Chongqing University of Technology(Natural Science)》 2013-01
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The Portfolio Selection Models with Risk Preference Parameter and Different Kinds of Convex Transaction Cost function

WEI Zeng-xin,WEI Xin,ZHOU Zhi-chao (College of Mathematics and Information Science,Guangxi University,Nanning 530004,China)  
Different kinds of transaction cost function are added to original portfolio selection model with risk preference parameter.It makes the model more realistic significance.There are two kinds of main transaction cost function.They are convex transaction cost function and concave transaction cost function.In this paper,we only add convex transaction cost function to original portfolio selection model with risk preference parameter.We use Lagrangian multiplier methods and an augmented Lagrangian approach to solve those models and give an example.
【Fund】: 国家自然科学基金资助项目(11161003)
【CateGory Index】: F830.59;F224
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