| 离散时间金融市场中的增长最优投资组合 |
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| 引用本文： | 李平,严加安.离散时间金融市场中的增长最优投资组合[J].数学进展,2002,31(6):537-542. |
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| 作者姓名： | 李平 严加安 |
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| 作者单位： | 中科院数学与系统科学研究院,北京,100080,中国 |
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| 基金项目： | The work of Yan was supported by the National Natural Science Foundation of China, grant 79790130，and the 973 project on forward problems of mathematics at the core, the Ministry of Science and Technology. |
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| 摘 要： | 在这篇文章中我们给出了离散时间不完全金融市场中增长最优投资组合的显式表达式，然后用计价单位投资组合法给出了期权的定价。
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| 关 键 词： | 离散时间 金融市场 增长最优投资组合 计价单位投资组合 未定权益 |
The Growth Optimal Portfolio in Discrete-time Financial Markets |
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| Li Ping,Yan Jia-an.The Growth Optimal Portfolio in Discrete-time Financial Markets[J].Advances in Mathematics,2002,31(6):537-542. |
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| Authors: | Li Ping Yan Jia-an |
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| Abstract: | In this paper we give an explicit representation of the growth optimal portfolio for a discrete-time incomplete financial market and then give the price of an option using the numeraire portfolio approach. |
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| Keywords: | growth optimal portfolio numeraire portfolio contingent claim |
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