摩擦市场的最优消费-投资组合选择
OPTIMAL CONSUMPTION-PORTFOLIO SELECTION IN FRICTIONAL MARKETS
查看参考文献16篇
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文摘
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本文研究摩擦市场中的最优消费-投资组合选择问题.当金融资产和自然状态个数为有限个以及摩擦局限于成比例的交易费时,可用原始市场或适当转换了的市场的无套利性来刻画最优消费-投资组合策略的存在性或充要条件. |
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其他语种文摘
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In this paper we study an optimal consumption-portfolio selection problem in frictional markets. When the financial assets and the states of nature are finite and when the friction is subject to proportional transaction costs, we characterize the existence or a necessary and sufficient condition of an optimal consumption-portfolio policy by no-arbitrage of the original market as well as a transformed market. |
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来源
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系统科学与数学
,2004,24(3):406-416 【核心库】
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关键词
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最优消费-投资组合
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交易费
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无套利
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地址
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1.
中山大学岭南学院金融系, 广州, 510275
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中国科学院数学与系统科学研究院系统科学研究所, 北京, 100080
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语种
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中文 |
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文献类型
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研究性论文 |
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ISSN
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1000-0577 |
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学科
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数学 |
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基金
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国家自然科学基金
;
国家教育部高等学校全国优秀博士学位论文作者专项资金
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广东省自然科学基金
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文献收藏号
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CSCD:1600201
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参考文献 共
16
共1页
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