The Inter-temporal Securities Portfolio Model Based on Inter Programming

DOI

10.2991/lemcs-14.2014.20How to use a DOI?

Keywords

inter-temporal;Portfolio selection;Integer programming;Least square method;Transaction fees.

Abstract

In order to satisfy the inter-temporal securities investors, we discuss the inter-temporal securities portfolio model with adding transaction fees in this paper. Meanwhile, for the purpose of improving the practicality of the model, we take the transaction fees, the trading volume and the minimum trading unit into account in founding the model. We divide the main content of this paper into three parts. First, Obtaining the yield and variance buy least squares in a specific period of time. Then, founding the inter-temporal securities portfolio model with adding transaction fees. Finally, obtaining the integral solution of the model. The proposed of this model provide a valuable reference standard for inter-temporal securities investors.

Copyright

© 2014, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Dong Yu
AU  - Yuzhen Lu
AU  - Qing Li
AU  - Min Zhang
PY  - 2014/05
DA  - 2014/05
TI  - The Inter-temporal Securities Portfolio Model Based on Inter Programming
BT  - Proceedings of the International Conference on Logistics, Engineering, Management and Computer Science
PB  - Atlantis Press
SP  - 86
EP  - 89
SN  - 1951-6851
UR  - https://doi.org/10.2991/lemcs-14.2014.20
DO  - 10.2991/lemcs-14.2014.20
ID  - Yu2014/05
ER  -