By analyzing the typical arbitrage pricing theory(APT),we find that there has no transaction cost in the presumption of typical APT model,and the investment risk could be decreased by decentralized investment at the condition of granted yield rate.On the real trade,however,there indeed has transaction cost.So,combined with transaction cost conception of economics,in this paper,a new APT model which has considered the transaction cost was built.And we find that in this condition investment is incompletely decentralized when yield rate is fixed.%传统的套利模型假设条件中不含有交易成本,在给定收益率的情况下通过分散化投资来减小风险,然而在实际市场交易中交易成本是存在的.结合经济学中交易成本概念,本文建立了新的含有交易成本的套利投资组合模型,得出了在考虑交易成本后给定收益率的情况下投资是不完全分散化的结论.
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