| 辅助鞅下投资消费资产模型的一些基本性质 |
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| 引用本文： | 许世蒙,刘俊红. 辅助鞅下投资消费资产模型的一些基本性质[J]. 装甲兵工程学院学报, 2000, 14(3): 22-25 |
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| 作者姓名： | 许世蒙 刘俊红 |
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| 作者单位： | 装甲兵工程学院基础部,北京,100072 |
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| 摘 要： | 针对所给出的有交易费的资产模型,引入了资产折算函数,并利用辅助鞅和凸函数对偶方法,讨论了该模型下折算资产优化的性质.
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| 关 键 词： | 交易费 投资消费模型 净资产 鞅方法 |
| 修稿时间： | 1999-11-01 |
Some Basic Properties of the Investment-Consumption Asset Model Under the Auxiliary Martingales |
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| Xu Shimeng,Liu Junhong. Some Basic Properties of the Investment-Consumption Asset Model Under the Auxiliary Martingales[J]. Journal of Armored Force Engineering Institute, 2000, 14(3): 22-25 |
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| Authors: | Xu Shimeng Liu Junhong |
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| Abstract: | In this paper, constructs the asset conversion function for given asset model with the transaction costs and discusses some properties of asset conversion by using Martingale and dual approaches. |
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| Keywords: | transaction costs investment-consumption model net asset Martingale approach |
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