| Summary: | 碩士 === 東海大學 === 數學系 === 87 === Abstract
There are many studies on portfolio selection with transaction costs in the investor's view in recent years. In this thesis, we confirm that the boundary between the selling bond (stock) region and the no-transaction region is a ray from zero and depends only on the transaction cost rate of selling bonds (stocks). As the transaction cost rate increases, the no-transaction region gets wider. We illustrate these results by simulation with a particular function.
Moreover, we try to extend portfolio selection with transaction cost in the investor's view to that in the broker's view. We know that the boundary conditions in the investor's view are homogeneous. But in the broker's view, the boundary conditions are non-homogeneous. This makes the problem more delicate. Finally, we conclude, even in the broker's view, that the optimal transaction policies including both purchase and selling take place on the boundaries of the no-transaction region.
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