Dynamic Arbitrage‐Free Asset Pricing with Proportional Transaction Costs
研究了比例交易成本下多期无套利金融市场的资产定价理论，建立了弱无套利和强无套利定价定理，对金融经济学和投资理论研究者有参考价值。
This paper studies multiperiod asset pricing theory in arbitrage‐free financial markets with proportional transaction costs. The mathematical formulation is based on a Euclidean space for weakly arbitrage‐free security markets and strongly arbitrage‐free security markets. We establish the weakly arbitrage‐free pricing theorem and the strongly arbitrage‐free pricing theorem.