不流动资产的定价与股权分置改革研究 - 金融工程

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不流动资产的定价与股权分置改革研究 [44] Constantinides, G. M., 1986, “Capital Market Equilibrium with Transaction Costs,” Journal of Political Economy, 94, 842–862. [45] Constantinides, G. M., and R. Mehra, 1998, “Junior Can’t Borrow, an Alternative Explanation for the Equity Premium Puzzle,” working paper, Columbia University. [46] Cox, Ingersoll and Ross ,1985 ,A Theory of the Term Structure of Interest Rates, Econometrica,53,385-408 [47] Cox, J., and C.F. Huang, 1989, “Optimal Consumption and Investment Policies when Asset Prices Follow a Diffusion Process,” Journal of Economic Theory, 49, 33–83. [48] Cuoco, D. ,1997, Optimal Consumption and Equilibrium Prices with Portfolio Constraints and Stochastic Income, Journal of Economic Theory 72, pp. 33-73. [49] Cvitanic, J., I. Karatzas, 1996, Hedging and portfolio optimization under transaction costs: a martingale approach. Math. Finance 6, no.2, pp. 133-165. [50] Cvitanic, J., W. Schachermayer, and H. Wang, 2001, Utility Maximization in Incomplete Markets with Random Endowment, Finance & Stochastics vol. 5, N. 2, pp. 259-272. [51] Damodaran, A., 2005, Marketability and Value: Measuring the Illiquidity Discount. working paper,Stern School of Business, July , [52] Denis Gromb, Dimitri Vayanos. ,2002, Equilibrium and welfare in markets with financially constrained arbitrageurs. Journal of Financial Economics 66,361–407 [53] Detemple J., J. Garcia and M. Rindisbacher ,2003, A Monte Carlo Method for Optimal Portfolios Journal of Finance, Vol. 58, pp. 401-446. [54] Ding, David K., 1999, The determinants of bid-ask spreads in the foreign exchange futures market: A microstructure analysis, Journal of Futures Markets 19, 307–324. [55] Duffie, D. 1996, ”Dynamic Asset Pricing Theory”, Princeton University press. [56] Duffie, D., W.Fleming, H.M. Soner, and Zariphopoulou ,1997, Hedging in incomplete markets with HARA utility, Journal of Economic Dynamics and Control, 21 pp.753-782. [57] Duffie Darrell, Nicolae Garleanu, and Lasse Pedersen, 2000, A Dynamic Bargaining Model of Asset Valuation, Unpublished Working-Paper, Graduate School of Business, Stanford University [58] Duffie, D., Nicolae Garleanu, and Lasse Heje Pedersen, 2004, Valuation in Over-the-Counter Markets? working paper,Current Version: November 15 [59] Dumas, B.,Elisa Luciano, 1991, An Exact Solution to a Dynamic Portfolio Choice Problem 104
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学校编码 :10384 学号 :B20
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厦门大学学位论文著
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Abstract Liquidity has a significan
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目录 1. 导论 ................
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Contents 1. Introduction ..........
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1. 导论 1. 导论 1.1 选题
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1. 导论 1.2 研究方法及
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1. 导论总股本等作为
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1. 导论二、主要结论
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2. 文献回顾 2. 文献回
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2. 文献回顾年的结论
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2. 文献回顾 ( 一 ) 动态
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2. 文献回顾最优策略
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2. 文献回顾 2.2.1 单期
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2. 文献回顾流动性做
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2. 文献回顾系比它与
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2. 文献回顾它本身的
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2. 文献回顾股票的折
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2. 文献回顾期权定价
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2. 文献回顾注第 1 次
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2. 文献回顾但以上这
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3. 不流动性资产的市
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4. 不流动性资产的定
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Page 67 and 68: 4. 不流动性资产的定
Page 81 and 82: 5. 我国股权分置改革
Page 93 and 94: 6. 结论及今后进一步
Page 95 and 96: 附录 total_R=linspace(0,0,5); to
Page 97 and 98: 附录 p=0.5;%ran, 不流动资
Page 99 and 100: 附录附录二折价率和
Page 101 and 102: 附录 0.2316 5 0.3 1 0.3 2 0.3 3
Page 103 and 104: 附录 0.6 0.7071 0.5 1 0.8 0.7071
Page 105 and 106: 附录 0.3 0.7071 0.5 1 0.3 0.7071
Page 107 and 108: 附录证券代折算 A 股
Page 115 and 116: 参考文献参考文献 : [
Page 117: 参考文献 [29] Boudoukh, J.,
Page 121 and 122: 参考文献 Endowment in Incomp
Page 123 and 124: 参考文献 empirical,investiga
Page 125 and 126: 参考文献 Review of Financial
Page 127 and 128: 后记后记终于把博士
Page 129: 后记 115
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不流动资产的定价与股权分置改革研究 - 金融工程

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