英文标题：
《Portfolio Optimization in the Financial Market with Correlated Returns
under Constraints, Transaction Costs and Different Rates for Borrowing and
Lending》
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作者：
Vladimir Dombrovskii and Tatyana Obedko
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最新提交年份：
2014
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英文摘要：
In this work, we consider the optimal portfolio selection problem under hard constraints on trading amounts, transaction costs and different rates for borrowing and lending when the risky asset returns are serially correlated. No assumptions about the correlation structure between different time points or about the distribution of the asset returns are needed. The problem is stated as a dynamic tracking problem of a reference portfolio with desired return. Our approach is tested on a set of a real data from Russian Stock Exchange MICEX.
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中文摘要：
在这项工作中，我们考虑了在交易金额、交易成本和不同借贷利率的硬约束下，当风险资产收益率序列相关时的最优投资组合选择问题。不需要对不同时间点之间的相关性结构或资产收益的分布进行假设。该问题被描述为具有期望收益的参考投资组合的动态跟踪问题。我们的方法在俄罗斯证券交易所MICEX的一组真实数据上进行了测试。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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