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存在交易费用的MAD资本市场的均衡价格

The Equilibrium Price in the MAD Market Including Transaction Costs
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摘要 对仅含风险资产且存在交易费用的均值-绝对偏差资本市场,给出了最优投资组合的求解方法,并导出了一个简洁易用的计算均衡价格的公式. The solution method of optimal portfolio has been given, and an explicit formula for the equilibri- um price is derived from the mean-absolution deviation capital market with risk assets, in which transaction costs are taken into account.
作者 夏艳
机构地区 肇庆学院数学与统计学院
出处 《肇庆学院学报》 2017年第2期15-18,共4页 Journal of Zhaoqing University
基金 广东省教学质量与教学改革工程建设项目(201550)
关键词 交易成本 MAD资本市场 均衡价格 最优投资组合 transaction costs MAD model equilibrium price optimal portfolio
分类号 F830.9 [经济管理—金融学]
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肇庆学院学报
2017年 第2期

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