摘要
在基金经理人效用函数为指数效用函数、投资基金价格服从几何布朗运动的条件下,基于市场存在交易费用及投资期限无限情况下的最优套利策略,就各参数对最优交易策略的影响进行分析,并对在无风险资产和多种风险资产之间进行资产组合。
In the condition of take the fund manact＇s effect as the index and the invest fund price obeying the geometric Brownian motion, we consider the optimal arbitage stragegy which existing the market dealing fees and the infinite invest limitation. Basing on analyzing the effect of paramters to the optimal arbitage strategy, we should give the further research to carry on the capital combination between the disventure capital and many kinds of venture capital.
出处
《经济与管理》
2007年第5期57-60,共4页
Economy and Management
关键词
证券投资基金
最优套利策略
几何布朗运动
equity mutual funds
optimal arbitrage strategy
geometric Brownian motion
