具有固定交易费用的证券投资决策问题
THE PROBLEM FOR PORTFOLIO INVESTMENT DECISION WITH FIXED TRANSACTION COSTS
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摘要: 在Pliska和Selby所建立模型的基础上,研究了具有固定交易费用的证券投资决策问题.通过进行函数变换,将证券投资决策的一类多维二阶偏微方程自由边界问题转化成特别简单的一类偏微分方程自由边界问题.Abstract: This paper studies the problem for portfolio investment decision with fixed transaction costs on the basis of the model established by Pliska and Selby.Using the transformation of the function, we will transform a class of tree boundary of the multidimensional second-order partial differential equation in portfolio investment decision into a much simpler one.