26.03.2015 Views

不流动资产的定价与股权分置改革研究 - 金融工程

不流动资产的定价与股权分置改革研究 - 金融工程

不流动资产的定价与股权分置改革研究 - 金融工程

SHOW MORE
SHOW LESS

You also want an ePaper? Increase the reach of your titles

YUMPU automatically turns print PDFs into web optimized ePapers that Google loves.

不 流 动 资 产 的 定 价 与 股 权 分 置 改 革 研 究<br />

[132] Samuelson, P.A. ,1969, Lifetime Portfolio Selection by Dynamic Stochastic Programming.<br />

Rev. Econ. Statist. LI (August), pp. 239-246.<br />

[133] Schwartz, E., Lagnado, R., 1997. Strategic asset allocation. Journal of Economic Dynamics<br />

and Control 21, 1377–1403.<br />

[134] Schwartz, Eduardo S.,2001, Claudio Tebaldi. Illiquid Assets and Optimal Portfolio<br />

Choice.The Scholarship Repository, University of California,<br />

[135] Schwartz, Eduardo S., Claudio Tebaldi, 2004,Illiquid Asset and Optimal Portfolio Choices,<br />

Working Paper, University of California, Los Angeles<br />

[136] Sharpe, W., 1964 , Capital Asset Prices :A Theory of Market Equilibrium Under Conditions<br />

of risk , Journal of Finance, September,425-442.<br />

[137] Shreve, S., 1981, “Rerected Brownian Motion in the ‘Bang-Bang’ Control of Brownian<br />

Drift,” SIAM Journal of Control and Optimization, 19, 469–478.<br />

[138] Silber, William L., 1991, Discounts on Restricted Stock: The Impact of Illiquidity on Stock<br />

Prices, Financial Analysts Journal, July-August, 60-64.<br />

[139] Stapleton, R. C., M. G. Subrahmanyam,1984,The Valuation of Options When Asset<br />

Returns are Generated by a Binomial Process , The Journal of Finance, Vol. 39, No. 5, pp.<br />

1525-1539<br />

[140] Stein, E., and J. Stein, 1991, Stock Price Distributions with Stochastic Volatility: An<br />

Analytic Approach, Review of Financial Studies, 4, 727–752.<br />

[141] Steven A. Lippman And John J. Mccal ,1986, An Operational Measure of Liquidity, The<br />

American Economic Review, Vol. 76, No. 1 (Mar.), pp. 43-55<br />

[142] Subramanian, A ., R.A. Jarrow, 2001, The Liquidity Discount, Mathematical Finance, 11,<br />

447–474<br />

[143] Svensson L. E. O. and Werner I. M. ,1993, Nontraded assets in incomplete markets :<br />

Pricing and portfolio choice, European Economic Review, Volume 37, Issue 5, June, pp.<br />

1149-1168.<br />

[144] Tilley, J. A., 1993, “Valuing American Options in a Path Simulation Model,” Transactions of<br />

the Society of Actuaries, 45, 83–104.<br />

[145] Tobin,J., 1965, The Theory of Portfolio Selection, in F.B.R .Brechling and F.H.Hahn, eds,<br />

TheTheory of Interest Rates, London: Macmillan.<br />

[146] Vayanos, D., 1998, Transaction Costs and Asset Prices: A Dynamic Equilibrium Model,<br />

110

Hooray! Your file is uploaded and ready to be published.

Saved successfully!

Ooh no, something went wrong!