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摩擦市场的最优消费-投资组合选择 被引量：11

OPTIMAL CONSUMPTION-PORTFOLIO SELECTION IN FRICTIONAL MARKETS
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摘要 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. 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.
作者 李仲飞 汪寿阳
机构地区 中山大学岭南学院金融系 中国科学院数学与系统科学研究院系统科学研究所
出处 《系统科学与数学》 CSCD 北大核心 2004年第3期406-416,共11页 Journal of Systems Science and Mathematical Sciences
基金 国家自然科学基金 高等学校全国优秀博士学位论文作者专项基金(200267) 广东省自然科学基金资助课题
关键词 摩擦市场 最优消费-投资组合 交易费 无套利分析 Optimal consumption-portfolio, transaction costs, no-arbitrage.
分类号 F224 [经济管理—国民经济]
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参考文献16

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二级参考文献23

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共引文献3

同被引文献179

引证文献11

二级引证文献92

系统科学与数学
2004年 第3期

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