time arbitrage 中文意思是什麼
time arbitrage
解釋
時間套匯-
On the one hand, the author discusses markowitz ' s mean - variance portfolio selection model, single - index portfolio selection model, and simplified model of optimal portfolio selection. at the same time, based on the rules of optimal portfolio selection and other risk - metric indices, the author also discusses mean - absolute deviation model, mean - semivariance model and mean - value at risk model. on the other hand, the author discusses the asset pricing model, including the capital asset pricing model ( capm ), the multi - factor asset pricing model, and the arbitrage pricing model ( apt )
一方面，作者討論了馬科維茲的均值-方差資產組合選擇模型、單指數資產組合選擇模型、最優資產組合選擇的簡化模型，同時根據最優資產組合選擇原則和其他風險度量指標，討論了均值-絕對離差、均值-半方差和均值-風險價值資產組合選擇模型；另一方面，作者討論了資產定價模型，包括多因素資產定價模型和套利定價模型，特別是在四種因素變量的基礎上，探討多因素資產定價模型。 -
Under the assumptions that every two assets could be traded directly, and the proportions of the transaction costs are functions of the traded assets and time, the a continuous market model was construted, which led to the result that there was no arbitrage under the admissible strategy by using the methods of auxiliary martingale and the discount asset function
摘要假定任意兩資產均可直接交易，且交易費率為資產和時間的非隨機函數，建立了有交易費的連續時間市場模型；利用輔助鞍和資產折算函數等方法得到了一個重要結果，即在給定的可允許策略集下，該市場無套利。
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