在擁有部分資訊且需付手續費之財務模型中之最佳投資策略

Abstract

本論文介紹當投資者在財務市場做交易的時候需要付一筆固定比率的手續費時，投資人應該如何決定最佳投資策略。在這篇論文裡對於離散時間的財務模型我們分別給風險中立、風險趨避兩種投資人一些結果。另一方面，本篇論文也討論當投資人在市場裡只能觀察到部分資訊時，投資人又該如何決定最佳投資策略。

In this thesis, we study that when the investor needs to pay a constant proportional transaction cost at each trading in a financial market how he (or) she decides the optimal trading strategy. We give some main results for the risk-neutral and risk-averse investors, respectively, in discrete financial model. And we also discuss the optimal trading strategy for the investor when he (or she) can only observe partial information in the financial market.