| 摩擦市场的最优消费-投资组合选择 |
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| 引用本文： | 李仲飞,汪寿阳. 摩擦市场的最优消费-投资组合选择[J]. 系统科学与数学, 2004, 24(3): 406-416 |
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| 作者姓名： | 李仲飞 汪寿阳 |
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| 作者单位： | 1. 中山大学岭南学院金融系,广州,510275
2. 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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| 基金项目： | 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 |
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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.
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| 关 键 词： | 最优消费-投资组合 交易费 无套利 |
| 修稿时间： | 2001-08-19 |
OPTIMAL CONSUMPTION-PORTFOLIO SELECTION IN FRICTIONAL MARKETS |
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| Zhong Fei LI,Shou Yang WANG. OPTIMAL CONSUMPTION-PORTFOLIO SELECTION IN FRICTIONAL MARKETS[J]. Journal of Systems Science and Mathematical Sciences, 2004, 24(3): 406-416 |
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| Authors: | Zhong Fei LI Shou Yang WANG |
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| Affiliation: | (1)Department of Finance, Lingnan (University) College,Sun Yat-Sen University, Guangzhou 510275;(2)Institute of Systems Science, Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing 100080 |
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| Abstract: | 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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| Keywords: | Optimal consumption-portfolio transaction costs no-arbitrage. |
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