有交易费的无套利资产组合优化性质

The Properties of Discount Asset Optimization under Transaction Costs

针对所给出的有交易费的资产过程模型 ,引入了资产折算函数以刻划套期保值和套利机会 ,并利用辅助鞅和凸分析的对偶方法 。

For the given asset process model under transaction costs,the asset discount function was introduced,the hedging strategy and the arbitrage opportunity was characterized by the function;furthermore,based no arbitrage analysis,the properties of the optimal portfolio reachability were discussed in this paper by using the methods of auxiliary martingales and convex duality