【摘要】 现代资产组合理论研究的是投资者在权衡收益与风险的基础上最大化自身效用的方法以及由此对整个资本市场产生的影响。Markowitz模型假设条件太多 ,因而基金管理人变动资产组合时 ,在证券市场上进行应用较困难。本文在对Markowitz创立的资产组合模型进行介绍的基础上 ,力图对Markowitz的资产组合模型进行拓展 ,建立了考虑税收、交易成本的资产组合模型 ,并分析了含有税收的证券组合的有效边界更多还原

【Abstract】 Modern property theory studies the investors maximizing their utilities on measuring return and risk and affecting the whole capital market. Markowitz model has many provisional conditions, and so application of fund manger changing portfolio, on negotiable securities market is very difficult. On the basis of introducing Markowitz model,this paper tries to extend it. And then it constructs a model including tax and trade cost, and analyzes the efficient confine of negotiable securities.更多还原