摘要
讨论了非均衡市场中投资组合套利问题 ,得出了投资组合套利存在性的判断定理。该定理表明 ,只要市场中存在一个对等的鞅测度 ,则市场中无套利机会。从该定理出发 ,还得到了关于市场中套利机会存在性的一个构造结果。这些结论表明 。
This article has discussed the problem of an arbitrage about an portfolio in an unequilimarket and got a determinable theorem about existence of an arbitrage about an portfolio. According to this theorem,an arbitrage about portfolio is not existing if there exists a respect martignal measure.A structural result about existence of arbitrage about an portfolio in a market is gotten. All results represent the existence of an arbitrage about an portfolio is related closely to the type of market.
出处
《重庆大学学报（自然科学版）》
EI
CAS
CSCD
北大核心
2001年第5期123-126,共4页
Journal of Chongqing University
