CAJ | 학술논문

由于大宗交易下边际交易费用递减,因此用线性加凹的函数拟合实际交易费用函数,建立了均值-方差框架下的组合优化模型并给出了相应的求解算法.通过对恒生指数样本股的实证分析发现：考虑大宗交易的组合有效边缘介于线性交易费用和无交易费用的组合有效边缘之间;大宗交易稀释了＂分散化降低风险＂的效应;大宗交易下交易费用越大,相对于线性交易费用而言组合集中度越高.
유우대종교역하변제교역비용체감,인차용선성가요적함수의합실제교역비용함수,건립료균치-방차광가하적조합우화모형병급출료상응적구해산법.통과대항생지수양본고적실증분석발현：고필대종교역적조합유효변연개우선성교역비용화무교역비용적조합유효변연지간;대종교역희석료＂분산화강저풍험＂적효응;대종교역하교역비용월대,상대우선성교역비용이언조합집중도월고.
In this paper,we consider the portfolio optimal problem under block trading.As the decrease of marginal transaction cost under block trading,we establish the mean-variance portfolio optimization model and the corresponding algorithm by means of fit transaction cost function with linear and concave form.Computational results are presented by considering the stocks involved in Hang Seng Index to show that：The efficient frontier under block trading is between that with linear transaction cost and without transaction cost;The investment risk can be eliminated by portfolio diversification,but the effect of that is dilute under block trading;In terms of linear transaction cost,the greater the transaction cost under block trading,the higher the portfolio concentration.