[1]陈莹,胡二琴.信息冲击下摩擦市场的最优消费投资组合[J].深圳大学学报理工版,2014,31(2):153-159.[doi:10.3724/SP.J.1249.2014.02153]
　Chen Ying and Hu Erqin.Optimal consumption-investment selection in frictional market with information shock[J].Journal of Shenzhen University Science and Engineering,2014,31(2):153-159.[doi:10.3724/SP.J.1249.2014.02153]
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信息冲击下摩擦市场的最优消费投资组合()
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《深圳大学学报理工版》[ISSN:1000-2618/CN:44-1401/N]

卷:
第31卷
期数:
2014年第2期
页码:
153-159
栏目:
电子与信息科学
出版日期:
2014-03-20

文章信息/Info

Title:
Optimal consumption-investment selection in frictional market with information shock
文章编号:
20140207
作者:
陈莹1; 胡二琴2
1）深圳大学经济学院，深圳 518060
2）湖北工业大学理学院，武汉 430068
Author(s):
Chen Ying1 and Hu Erqin2
1) College of Economics, Shenzhen University, Shenzhen 518060, P.R.China
2) School of Science, HuBei University of Technology, Wuhan 430068, P.R.China
关键词:
金融工程; 信息冲击; 摩擦市场; 交易成本; 最优消费投资组合; 资产定价
Keywords:
financial engineering;  information shock;  frictional market;  transaction costs;  optimal consumption-investment;  asset pricing model
分类号:
F 830
DOI:
10.3724/SP.J.1249.2014.02153
文献标志码:
A
摘要:
研究了信息冲击下摩擦市场中的最优消费投资组合问题．在传统模型Constantinides（1986）基础上加入信息冲击，将摩擦市场动态化，得到了最优消费投资组合解．结果表明，与传统模型相比较，加入信息冲击后，交易成本的变化对最优消费投资组合解的影响显著增大，解释了传统模型与实证结果之间的矛盾，说明交易成本在资产定价模型中是不容忽视的因素．
Abstract:
An optimal consumption-investment selection in frictional market with information shock is studied in this paper. A dynamic model of the frictional market is proposed by introducing an information shock on the basis of the traditional model Constantinides (1986), and the optimal consumption-investment solution is established. The result shows that the influence of the transaction costs on the consumption-investment solution is much more significant than that of the traditional model. It also indicates that the transaction cost is a very important factor in the asset-pricing model.

参考文献/References:

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备注/Memo

备注/Memo:
Received：2013-12-11；Accepted：2014-02-20
Foundation：Natural Science Foundation of Guangdong Province( S2011040003193)
Corresponding author：Ph.D ChenYing. E-mail：cying@szu.edu.cn
Citation：Chen Ying， Hu Erqin. Optimal consumption-investment selection in frictional market with information shock［J］. Journal of Shenzhen University Science and Engineering, 2014, 31(2): 153-159.（in Chinese）
基金项目：广东省自然科学基金资助项目（S2011040003193）
作者简介：陈莹（1980-），女（汉族），广东省湛江市人，深圳大学讲师、博士. E-mail：cying@szu.edu.cn
引文：陈莹，胡二琴. 信息冲击下摩擦市场的最优消费投资组合［J］. 深圳大学学报理工版，2014，31（2）：153-159.
更新日期/Last Update: 2014-03-20