A Minimax Method for Optimal Portfolio Selection with Transaction Costs
带交易费的最优投资组合选择的极大极小方法

This paper considers a minimax model for optimal portfolio selection at the situation that the return rates of risky assets can not be precisely estimated. The authors introduce transaction costs into the minimax model and the transaction cost is taken as a V-shaped function of the difference between the existing portfolio and a new one. For independent capital assets, the authors derive the analytical expression of an optimal portfolio with no-short sales.