The Research of Multi-Period Portfolio Model with Transaction Cost

Abstract

Based on mean-semi variance model, this paper introduces the possibilistic entropy model, and on the basis of taking the actual transaction costs and multistage investment into account, it expands the model to multistage mean-semi variance possibilistic entropy model with transaction costs. In addition, it designs an example by using the stock data of Shanghai Stock Exchange, as well as carrying out coding and solving for the proposed model by using MATLAB software, so as to prove the forecast performance and promotion performance of multistage mean-semi variance possibilistic entropy model, providing decision basis and tools for investors.