2005쓪뗚4웚훐즽듳톧톧놨(짧믡뿆톧냦)뗚45뻭(ퟜ196웚)(SOCIALSCIENCEEDITION)폐쒦닁뛠웚횤좯쫐뎡훐뗄컞쳗샻닺뚨볛3샮훙량(훐즽듳톧쇫쓏톧풺,맣뚫맣훝510275)ꆡꆡ햪ꆡ튪:닺뚨볛샭싛쫇쿖듺뷰죚톧뗄뫋탄쓚죝,닺뚨볛뗄솽룶믹놾랽램쫇쿖듺뗄컞쳗샻랽램뫍뒫춳뗄뻹뫢랽램ꆣ놾컄뛔듦퓚싲싴볛닮ꆢ돉뇈샽붻틗럑뫍만뚨붻틗럑죽훖쒦닁뗄뛠웚횤좯쫐뎡,폃컞쳗샻랽램퇐뺿닺뚨볛샭싛ꆣ럖뇰뛔늻듦퓚쳗샻뫍늻듦퓚잿쳗샻뗄쫐뎡,붨솢쇋닺뚨볛뗄믹놾뚨샭ꆣꆡꆡ맘볼듊:뛠웚횤좯쫐뎡;싲싴닮볛;돉뇈샽붻틗럑;만뚨붻틗럑;잿쳗샻;쳗샻;닺뚨볛믹놾뚨샭ꆡꆡ훐춼럖샠뫅:;ꆡꆡ컄쿗뇪쪶싫:Aꆡꆡ컄헂뇠뫅:1000-9639(2005)04-0117-07튻ꆢ컊쳢뗄쳡돶ꆡꆡ1958쓪,Modigliani뫍Miller퓚쯻쏇쓇욪훸쏻뗄뺭뗤싛컄\[1\훐]쫗듎쳡돶컞쳗샻볙짨틔벰컞쳗샻랽램뗄믹놾쮼쿫ꆣ듓듋떮짺쇋튻훖탂뗄뷰죚톧퇐뺿랽램ꆪ컞쳗샻랽램,쯼퓚뫳살돉캪튻쾵쇐뷰죚퇐뺿돉맻(죧쳗샻뚨볛샭싛뫍웚좨뚨볛샭싛)뗄훘튪럖컶쫖뛎,틲듋놻뾴ퟷ쫇쿖듺뷰죚톧뗄헦헽뗄랽램싛룯쏼ꆣퟷ캪쿖듺뷰죚톧뫋탄쓚죝뗄닺뚨볛샭싛,퓚컞쳗샻랽램쿂좡뗃쇋럡뢻뗄퇐뺿돉맻ꆣRoss퓚1976쓪싊쿈쳡돶닺뚨볛믹놾뚨샭뗄믹놾쮼쿫\[2\],늢퓚1978쓪쏷좷틔떥웚쒣탍뗄탎쪽닻쫶닺뚨볛믹놾뚨샭\[3\]ꆣ1979쓪Harrison뫍Krepsퟮ퓧냑닺뚨볛믹놾뚨샭췘햹떽뛠웚횤좯쫐뎡훐\[4\],1981쓪Kreps폖냑닺뚨볛믹놾뚨샭췆맣떽룼튻냣뗄탎쪽\[5\],폈웤쫇캴살뫬샻볛룱캪솬탸쯦믺뇤솿뗄쟩탎ꆣ헢킩퇐뺿뷒쪾쇋컞쒦닁쫐뎡훐컞쳗샻뗄놾훊ꆣ좻뛸,퓚쪵볊뗄뷰죚쫐뎡훐,ퟜ쫇듦퓚ퟅ뛠훖탎쪽뗄쒦닁,샽죧싲싴닮볛ꆢ돉뇈샽붻틗럑ꆢ만뚨붻틗럑(횸펶뷰ꆢ붻틗뒦샭럑ꆢ탅쾢믱좡럑뗈럾컱럑뗄ퟜ뫍)ꆢ쮰뢺ꆢ샫즢쳘헷(횻쓜붻틗헻쫽쫖)ꆢ붻틗솿쿞훆(쿂쿞믲짏쿞)뗈ꆣ튻냣살쮵,죎뫎탎쪽뗄쒦닁뻹쪹컊쳢뢴퓓뮯ꆣ뷼쓪살,폐쒦닁횤좯쫐뎡훐뗄컞쳗샻닺뚨볛샭싛쫜떽쇋풽살풽뛠뗄맘힢ꆣGarman뫍Ohlson\[6\붫]Ross뗄닺뚨볛믹놾뚨샭\[3\췘]햹떽듦퓚돉뇈샽붻틗럑뗄떥웚횤좯쫐뎡,Prisman\[7\뛔]듦퓚쮰뢺뗄컞쳗샻뺭볃쳡돶쇋닺뚨볛뗄튻룶튻냣뿲볜,Der2mody뫍Prisman\[8\냑]Garman뫍Ohlson뗄뷡맻\[6\췆]맣떽뻟폐뗝퓶뇟볊붻틗럑뗄떥웚횤좯쫐뎡,Dermody뫍Ro\[9\ckafellar퇐]뺿쇋떱횤좯쫐뎡듦퓚싲싴닮볛뫍쮰뢺쪱쿖뷰쇷뗄뚨볛샭싛\[10,11\],Jouini뫍Kallal럖뇰퇐뺿쇋뻟폐싴뿕풼쫸뫍뻟폐싲싴닮볛뗄횤좯쫐뎡훐뗄닺뚨볛샭싛,Jaschk\[12\e퇐]뺿쇋듦퓚싲싴닮볛뫍돉뇈샽붻틗럑뗄햮좯쫐뎡훐뗄닺뚨볛샭싛늢룸돶쇋샻싊웚쿞뷡릹뗄쳗샻짏뷧뫍쿂뷧,Pham뫍Tou\[13\zic붨]솢쇋뻟폐ힶꆡ풼쫸뗄뛠웚횤좯쫐뎡훐뗄닺뚨볛믹놾뚨샭,Deng,Li뫍Wang\[14,15\틔]벰샮훙량뫍췴쫙ꆡ3쫕룥죕웚:2004-05-19믹뷰쿮쒿:탂쫀볍폅탣죋닅횧돖볆뮮(쿮쒿뇠뫅NCET-04-0798);룟뗈톧킣좫맺폅탣늩쪿톧캻싛컄ퟷ헟쿮뷰훺쿮쒿(쿮쒿뇠뫅200267);맺볒ퟔ좻뿆톧믹뷰쿮쒿(쿮쒿뇠뫅70471018)ퟷ헟볲뷩:샮훙량(1963-),쓐,쓚쏉맅뛵뛻뛠쮹죋,맜샭톧늩쪿,훐즽듳톧쇫쓏톧풺뷌쫚ꆢ늩쪿짺떼쪦ꆣ117' 1994-2014 China Academic Journal Electronic Publishing House. All rights reserved.
퇴\[16\퇐]뺿쇋듦퓚싲싴닮볛ꆢ돉뇈샽붻틗뫍쮰뢺뗄떥웚횤좯쫐뎡훐뗄컞쳗샻닺뚨볛샭싛,Zhang,Xu뫍Deng\[17\붨]솢쇋듦퓚돉뇈샽붻틗럑뗄뛠웚횤좯쫐뎡훐뗄닺뚨볛믹놾뚨샭ꆣ헽쿱Kabanov,RÀsony18\i뫍Strick\[er횸]돶뗄쓇퇹,뺡맜퇐뺿폐쒦닁횤좯쫐뎡훐뗄컞쳗샻닺뚨볛샭싛뗄컄쿗헽퓚톸쯙퓶볓,떫폐쒦닁횤좯쫐뎡훐뗄컞쳗샻닺뚨볛샭싛죔폐탭뛠캴쓜뷢뻶뗄컊쳢,뛸쟒탭뛠뷡맻늻쓜쿱컞쒦닁횤좯쫐뎡훐뗄컞쳗샻닺뚨볛샭싛쓇퇹쇮죋싺틢ꆣ놾컄뾼싇튻룶룼뢴퓓뗄폐쒦닁뛠웚횤좯쫐뎡,쒦닁늻뷶냼삨싲싴볛닮뫍돉뇈샽붻틗럑,뮹냼삨만뚨붻틗럑ꆣ뛔헢퇹튻룶쫐뎡,컒쏇붨솢컞쳗샻닺뚨볛믹놾뚨샭ꆣ뛾ꆢ늻좷뚨탔폫탅쾢뾼싇튻룶늻좷뚨탔쳵볾쿂뗄뛠웚횤좯쫐뎡ꆣ퓚룃쫐뎡훐,듦퓚T+1룶붻틗죕,럖뇰틔t=0,1,ꆭ,T뇭쪾;듦퓚폐쿞룶ퟔ좻ힴ첬,웤벯뫏(벴퇹놾뿕볤)폃ꚸ뇭쪾ꆣ쎿튻룶ힴ첬쫇뛔쯹폐쪱뿌t=0,1,ꆭ,T뗄뺭볃뮷뺳뗄튻룶쏨쫶ꆣ퓚쪱뿌0,듺샭죋늻횪뗀쓄튻룶ힴ첬붫믡쪵쿖ꆣ떫쫇쯦ퟅ쪱볤뗄췆틆,쯻쏇붫믱뗃풽살풽뛠뗄맘폚ힴ첬뗄탅쾢ꆣ퓚쪱뿌T,쯻쏇붫췪좫횪뗀헦쪵뗄ힴ첬ꆣ듺샭죋퓚쪱뿌t뗄탅쾢벯폃ힴ첬벯ꚸ뗄튻룶럖뮮Ft살쏨쫶ꆣ튻룶럖뮮Ft뻍쫇ꚸ뗄튻룶ퟓ벯듘,헢킩ퟓ벯솽솽늻쿠붻쟒쓜릻뢲룇헻룶퇹놾뿕볤ꆣ퓚쪱뿌0,듺샭죋쎻폐ힴ첬뗄죎뫎탅쾢,맊쪱뿌-0럖뮮캪욽랲럖뮮F0={ª,ꚸ}ꆣ퓚쪱뿌T,듺샭죋펵폐췪좫탅쾢,틲뛸쪱뿌T럖뮮캪ퟜ럖뮮FT={{ꛘ}ꇃꛘꇊꚸ}ꆣ퓚쪱뿌1,ꆭ,T-1,듺샭죋펵폐뗄탅쾢솿뷩폚잰솽헟훐볤ꆣFt+1뷏Ft뺫쾸(늻튻뚨퇏룱뺫쾸),벴튻룶ힴ첬쯹퓚뗄쪱뿌(t+1)럖뮮훐뗄쓇룶ퟓ벯쫇쯼쯹퓚뗄쪱뿌t럖뮮훐뗄쓇룶ퟓ벯뗄ퟓ벯,믲헟뗈볛뗘,죧맻솽룶ힴ첬쫴폚t쪱뿌럖뮮훐뗄솽룶늻춬ퟓ벯,퓲쯼쏇늻뿉쓜쫴폚t틔뫳죎뫎쪱뿌럖뮮훐뗄춬튻ퟓ벯ꆣ튲뻍쫇쮵,듺샭죋믱뗃뗄탅쾢맘폚쪱볤쫇럇복뗄ꆣ럖뮮뗄T+1풪ퟩ{F0,F1,ꆭ,FT}돆캪탅쾢폲쇷,볇캪Fꆣ평폚놾컄뾼싇폐쿞룶ힴ첬뗄쟩탎,탅쾢폲쇷튲돆쫂볾쫷ꆣ럖뮮Ft뗄쎿룶ퟓ벯돆캪튻룶쪱뿌t쫂볾,늢돆캪쫂볾쫷뗄튻룶뷚뗣,볇ퟷꛎtꆣ쫂볾ꛎ0=F0돆캪룹뷚뗣ꆣ뷚뗣ꛎt뗄뫳듺뷚뗣쫇쫂볾ꛎꛓ<ꛎt,ꛓ>t(놾컄폃<뇭쪾퇏룱냼몬폚,폃Α뇭쪾냼몬폚),뷚뗣ꛎt뗄ퟓ뷚뗣쫇쫂볾ꛎt+1<ꛎt,뷚뗣ꛎt뗄잰놲뷚뗣쫇쫂볾ꛎt-1=ꛎt,뷚뗣ꛎt뗄뢸뷚뗣캪쫂볾ꛎt-1=ꛎt,쯼쫇캨튻뗄,볇ퟷꛎ-tꆣ퓚붫살쪱뿌t=1,ꆭ,T뗄쯹폐쫂볾릹돉뗄벯뫏볇캪ꚮ+ꆣ늢볇k=#(ꚮ+)캪ꚮ+훐뗄쫂볾뗄쫽솿ꆣ냼삨룹뷚뗣퓚쓚뗄쯹폐쫂볾릹돉뗄벯뫏볇캪ꚮ,쯼냼몬뗄쫂볾쫽캪k+1ꆣ죽ꆢ뛠웚횤좯쫐뎡쒣탍볙짨횤좯쫐뎡릲폐J룶횤좯,쎿룶횤좯평쯼퓚룷룶쪱뿌닺짺뗄뫬샻뿌뮭,횤좯퓚돽쇋훕뛋쪱뿌T췢뗄쯹폐쪱뿌붻틗,뛸쟒붻틗ퟜ쫇랢짺퓚랢럅뫬샻뫳ꆣ폃x(ꛎ)jt뇭쪾횤좯j퓚쫂볾ꛎt뗄뫬샻,폃x(ꛎ)t뇭쪾J룶횤좯퓚쫂볾ꛎt뗄뫬샻쿲솿,벴x(ꛎ)t=(x1(ꛎ)t,ꆭ,xJ(ꛎ))tꆣ룷횤좯퓚쪱뿌0쎻폐뫬샻,벴x(ꛎ0)=0ꆣ퓚듳뛠쫽쿖쪵뷰죚쫐뎡훐,쎿룶붻틗횤좯폐솽룶볛룱:싲죫볛룱뫍싴돶볛룱ꆣ폃pa(ꛎ)jt뇭쪾횤좯j퓚쫂볾ꛎt뗄싲죫볛룱(쿠뛔폚듺샭죋뛸퇔,쿂춬),폃pb(ꛎ)jt뇭쪾횤좯j퓚쫂볾ꛎt뗄싴돶볛룱ꆣ튻냣살쮵,싲죫볛룱늻뗍폚싴돶볛룱,벴pa(ꛎ)jtꇝpb(ꛎ)jtꆣ돶폚럻뫅짏뗄풭틲,컒쏇폐퓚쪱뿌T뗄볛룱pa(ꛎjT)뫍pb(ꛎjT),떫평폚퓚쪱뿌T늻랢짺붻틗,헢킩볛룱짨캪0ꆣ쿖쪵뷰죚쫐뎡훐췹췹듦퓚붻틗럑,냼삨돉뇈샽뗄붻틗럑뫍만뚨붻틗럑ꆣ짨퓚쫂볾ꛎt릺싲1믵뇒떥캻뗄횤좯j뗄돉뇈샽붻틗럑쫇ꛋa(ꛎ)jt,돶쫛1믵뇒떥캻뗄횤좯j뗄돉뇈샽붻틗럑쫇ꛋb(ꛎ)jt,헢샯0ꇜꛋaj(ꛎ)t,ꛋb(ꛎ)jt<1ꆣ짨퓚쫂볾ꛎt붻틗(싲죫믲싴돶)횤좯j뗄만뚨붻틗럑쫇ꛌ(ꛎ)jtꆣ늻붻틗뻍쎻폐만뚨붻틗럑,떫횻튪붻틗,만뚨붻틗럑뻍쫇튻룶폫붻틗솿쎻맘쾵뗄솿ꆣ118' 1994-2014 China Academic Journal Electronic Publishing House. All rights reserved.
놾컄뾼싇뗄뛠웚횤좯쫐뎡췪좫평짏쏦룸돶뗄쫽뻝ퟩMꇃ={x,pa,pb,ꛋa,ꛋb,ꛌ}뿌뮭ꆣ폃h(ꛎ)jt뇭쪾횤좯j퓚쫂볾ꛎt붻틗뫳뗄돖폐솿(막쫽),폃h(ꛎ)t뇭쪾J룶횤좯퓚쫂볾ꛎt뗄횤좯ퟩ뫏,벴쿲솿h(ꛎ)t=(h1(ꛎ)t,ꆭ,hJ(ꛎ))tꆣ쎿룶횤좯뗄돖폐솿뿉틔쫇헽뗄,쇣,믲뢺뗄(돽럇폐싴뿕쿞훆)ꆣ춬퇹,돶폚럻뫅짏뗄풭틲,쪱뿌Tퟩ뫏h(ꛎT)짨캪쇣ꆣk+1풪ퟩh={h(ꛎ),ꛎꇊꚮ}돆캪튻룶붻틗닟싔ꆣ퓚붻틗닟싔h쿂,횤좯j퓚쫂볾ꛎꛎ)t뗄붻틗솿캪ꚤh()jt:=h(ꛎjt-h(ꛎ-)jt,듳폚쇣뇭쪾싲죫,킡폚쇣뇭쪾싴돶ꆣ헢샯맦뚨h(ꛎ-j0)=0ꆣ퓚ꛎ)t릺싲ꚤh(ꛎjt>0막횤좯j뗄돉놾(냼삨쫐횵ꆢ돉뇈샽붻틗럑뫍만뚨붻틗럑)캪pa(ꛎ)(jt1+ꛋa(ꛎ))ꚤjth(ꛎ)ꛎ)jt+ꛌ(jt.퓚ꛎt돶쫛ꚤh(ꛎ)jt<0막횤좯j뗄쫕틦(뿛돽쇋돉뇈샽붻틗럑뫍만뚨붻틗럑뗄쫐횵)캪pb(ꛎ)(jt1-ꛋb(ꛎ))ꚤjth(ꛎ)jt+ꛌ(ꛎ)jt.뛔쎿룶횤좯j뫍뷚뗣ꛎꇊꚮ,뚨틥몯쫽<j(ꛎ):RꇺRpa(ꛎ)(j1+ꛋa(ꛎ))jy,yꇝ0<(ꛎ)(jy)=pb(ꛎ)(j1-ꛋb(ꛎ))jy,yꇜ0뫍몯쫽<(ꛎ):RJꇺR<(ꛎ)(h)=ꇆJ<(ꛎ)(jh)=1퓙뚨틥튻룶쪾탔몯쫽ꛄ1,hꇙ0(y)=0,h=0.퓲짏쫶돉놾믲쫕틦뿉볲떥뗘뇭쪾캪<(ꛎ)(ꚤjth(ꛎ))jt+ꛌ(ꛎ)ꛄ(ꚤjth(ꛎ))jt.틲듋,붻틗닟싔h퓚ꛎt뗄ퟜ돉놾믲쫕틦캪ꇆJ[<(ꛎ)(ꚤjth(ꛎ))jt+ꛌ(ꛎ)ꛄ(ꚤjth(ꛎ))jt]=<(ꛎ)(ꚤth(ꛎ))ꛌ(ꛎ)ꛄ(ꚤt+ꇆJjth(ꛎ))=1j=1붻틗닟싔h퓚ꛎt닺짺뗄뫬샻캪ꇆJx(ꛎ)(ꛎ-)jthjt=x(ꛎ)th(ꛎ-)=1헢샯벰췹뫳,쿲솿뗄돋믽뇭쪾얷쫏쓚믽,벴뛔펦럖솿쿠돋퓙쿠볓ꆣ뿛돽ퟜ붻틗돉놾뫳,붻틗닟싔h퓚ꛎt닺짺뗄뺻뫬샻(뿉횱맛짏샭뷢캪뺻쿖뷰쇷돶)캪z(h)(ꛎ)t:=x(ꛎ)th(ꛎ-)t-<(ꛎ)(ꚤꛌ(ꛎ)ꛄ(ꚤth(ꛎ))t-ꇆJjth(ꛎ))=1쳘뇰뗘,z(h)(ꛎ0)=-<(ꛎ0)(h(ꛎ0))-ꇆJꛌ(ꛎj0)ꛄ(h(ꛎj0)),z(h)(ꛎT)=x(ꛎT)h(ꛎ-T).쪵볊짏,쪱뿌0j=1뺻뫬샻z(h)(ꛎ0)뻍쫇퓚ꛎ0릺싲ퟩ뫏h(ꛎ0)뗄돉놾뗄쿠랴쫽ꆣ폃k캬쿲솿z(h):=(z(h)(ꛎ),ꛎꇊꚮ+)뇭쪾붻틗닟싔h뗄캴살(듓쪱뿌1웰)뺻뫬샻맽돌,폃k+1캬쿲솿z(h):=(z(h)(ꛎ),ꛎꇊꚮ)=(z(h)(ꛎ0),z(h))뇭쪾붻틗닟싔h뗄(듓쪱뿌0웰뗄)뺻뫬샻맽돌ꆣ쯄ꆢ쳗샻뗄뚨틥폫뿌뮭뚨틥1ꆡ뛠웚쫐뎡M훐뗄튻룶잿쳗샻쫇횸헢퇹튻룶붻틗닟싔h,쯼뻟폐헽뗄캴살뺻뫬샻z(h)뫍퇏룱헽뗄쪱뿌0뺻뫬샻z(h)(ꛎ0).119' 1994-2014 China Academic Journal Electronic Publishing House. All rights reserved.
뚨틥2ꆡ뛠웚쫐뎡M훐뗄튻룶쳗샻쫇횸헢퇹튻룶붻틗닟싔h,쯼뻟폐헽뗄럇쇣뺻뫬샻z(h).쿔좻,튻룶쳗샻튪쎴쫇튻룶잿쳗샻,튪쎴뻟폐헽뗄럇쇣캴살뺻뫬샻뫍뗈폚쇣뗄쪱뿌0뺻뫬샻ꆣ뚨샭1ꆡ쫐뎡M쫇럱듦퓚쳗샻(잿쳗샻)폫만뚨붻틗럑맽돌ꛌ컞맘ꆣ횤쏷:컒쏇횻횤쏷잿쳗샻뗄쟩탎ꆣ짨ꛌ뫍ꛌꇤ쫇솽룶늻춬뗄만뚨붻틗럑맽돌,짨h쫇만뚨붻틗럑맽돌캪ꛌ뗄쫐뎡M={x,pa,pb,ꛋa,ꛋb,ꛌ}뗄잿쳗샻ꆣ평잿쳗샻뗄뚨틥,폐<(ꛎ0)(h(ꛎ0))<-ꇆJꛌ(ꛎꛄ(j0)h(ꛎj0)),x(ꛎ)h(ꛎ-)-<(ꛎ)(ꚤh(ꛎ))ꇝꇆJꛌ(ꛎ)ꛄ(ꚤjh(ꛎ))jj=1j=1뛔죎틢뗄ꛎꇊꚮ+ꆣ틲듋,듦퓚돤럖듳뗄헽쫽ꛁ쪹뗃ꛁ<(ꛎ0)(h(ꛎ0))<-ꇆJꛌꇤ(ꛎj0)ꛄ(h(ꛎj0)),ꛁx(ꛎ)h(ꛎ-)-ꛁ<(ꛎ)(ꚤh(ꛎ))ꇝꇆJꛌꇤ(ꛎ)ꛄ(ꚤjh(ꛎ))jj=1j=1뛔죎틢뗄ꛎꇊꚮ+ꆣ평폚횤좯뗄싲죫볛늻뗍폚싴돶볛,죝틗횤쏷쎿룶몯쫽<(ꛎ)(jꆤ)쫇듎쿟탔뗄(벴헽웫듎뫍듎뿉볓),듓뛸몯쫽<(ꛎ)(ꆤ)튲쫇듎쿟탔뗄ꆣ뛸몯쫽ꛄ쿔좻폐탔훊:뛔죎틢럇쇣쪵쫽ꛁ,ꛄ(ꛁy)=ꛄ(y)ꆣ폚쫇짏쏦솽쪽돉캪<(ꛎ0)(ꛁh(ꛎ0))<-ꇆJꛌꇤ(ꛎj0)ꛄ(ꛁh(ꛎꛁj0)),x(ꛎ)(h(ꛎ-))-<(ꛎ)(ꚤ(ꛁh)(ꛎ))ꇝꇆJꛌꇤ(ꛎ)ꛄ(ꚤ(ꛁh)(ꛎ))=1j=1뛔죎틢뗄ꛎꇊꚮ+ꆣ퓙듎평잿쳗샻뗄뚨틥,횪ꛁh쫇만뚨붻틗럑맽돌캪ꛌꇤ뗄쫐뎡Mꇤ={x,pa,pb,ꛋa,ꛋb,ꛌꇤ}뗄잿쳗샻ꆣ뚨샭뗃횤ꆣ룹뻝뚨샭1,쫐뎡M늻듦퓚쳗샻(잿쳗샻)떱쟒뷶떱늻듦퓚만뚨붻틗럑뗄쿠펦쫐뎡늻듦퓚쳗샻(잿쳗샻)ꆣ틲듋,퓚쿂컄훐컒쏇붫늻뾼싇만뚨붻틗럑,벴쇮ꛌ=0,튲뻍쫇쮵,듓쿖퓚웰,z(h)(ꛎ)t:=x(ꛎ))(ꚤth(ꛎ-)t-<(ꛎth(ꛎ))t,Πꛎꚮt.평폚몯쫽<(ꛎ)(ꆤ)쫇듎쿟탔뗄,짏쏦헢룶몯쫽z(h)쫇h뗄뎬쿟탔몯쫽,벴-z(ꆤ)쫇듎쿟탔뗄ꆣ폚쫇,벯뫏M:={zꇊRk+1:듦퓚붻틗닟싔h,쪹뗃zꇜz(h)}쫇튻룶뇕춹ힶꆣ쎿룶zꇊRk+1뿉뇭쪾캪z=(z(ꛎ),ꛎꇊꚮ)=(z(ꛎ0),z).컒쏇늻쓑횤쏷:쏼쳢1ꆡ쫐뎡M늻듦퓚쳗샻떱쟒뷶떱MꇉRk+1+={0}.쏼쳢2ꆡ쫐뎡M늻듦퓚잿쳗샻떱쟒뷶떱MꇉRk+1+=zꇊMꇉRk+1+:z(ꛎ0)=0.컥ꆢ컞쳗샻닺뚨볛뚨샭2ꆡ쫐뎡M늻듦퓚쳗샻떱쟒뷶떱듦퓚퇏룱헽뗄쿲솿q=(1,q)ꇊRk+1++쪹뗃뛔쎿룶횤좯j뫍쎿룶럇훕뷡쫂볾ꛎtꇊFt,t<T폐q(ꛎ)ꛎ)(tpb(jt1-ꛋb(ꛎ))jtꇜꛎꇆq(ꛎ)x(ꛎ)jꇜq(ꛎ)tpa(ꛎ)())jt1+ꛋa(ꛎjt.(1)<ꛎt횤쏷:쿈횤뇘튪탔ꆣ짨쫐뎡M늻듦퓚쳗샻,퓲폐쏼쳢1,MꇉRk+1+={0}ꆣ폖틲M뫍Rk+1+쫇솽룶뇕춹ힶ,룹뻝춹벯럖샫뚨샭,쯼쏇뿉폃튻룶뎬욽쏦럖샫,벴듦퓚0ꇙqꇊRk+1쪹뗃qꆤzꇜ0,ΠzꇊM,(2)qꆤz>0,zꇊRk+1+\{(0,0)}.(3)헢샯qꆤz=ꇆꛎꇊꚮq(ꛎ)z(ꛎ)ꆣ뛔죎틢ꛎꇊꚮ,퓚릫쪽(3)훐좡zꇊRk+1+,웤훐z(ꛎ)=1,z(ꛆ)=0;ꛆꇙ120' 1994-2014 China Academic Journal Electronic Publishing House. All rights reserved.
ꛎ,퓲뗃떽q(ꛎ)>0ꆣ틲듋,qꇊRk+1++,늻럁뿉짨q(ꛎ0)=1ꆣ뛔죎틢붻틗닟싔h,평폚z(h)ꇊM,평릫쪽(2)폐ꛎꇆq(ꛎ)z(h)(ꛎ)ꇜ0.(4)ꇊꚮ뛔쎿룶횤좯j뫍쎿룶럇훕뷡쫂볾ꛎtꇊFt,t<T,뾼싇헢퇹튻룶붻틗닟싔h^:퓚쪱뿌t뗄쫂볾ꛎt싲죫튻막횤좯j늢붫웤돖폐떽쪱뿌T,벴h^(ꛎ1,죴ꛎΑꛎt,i=j,)i=0,웤쯼,퓲-pa(ꛎ)(jt1+ꛋa(ꛎ))jt,죴ꛎ=ꛎt,z(h^)(ꛎ)=x(ꛎ)j,죴ꛎ<ꛎt,0,웤쯼.폚쫇퓚(4)훐쇮h=h^,뗃떽(ꛎ)x(ꛎ)jꇜꛎꇆqq(ꛎ)(ꛎ)(tpajt1+ꛋa(ꛎ))jt.(5)<ꛎt퓙뾼싇헢퇹튻룶붻틗닟싔ꆦh:퓚ꛎt싴뿕튻럝횤좯j늢붫웤놣돖떽T,벴ꆦ-1,죴ꛎ=ꛎt,i=j,h(ꛎ)i=0,웤쯼.퓲pb(ꛎ)((ꛎ))t1-ꛋbjjt,죴ꛎ=ꛎt,z(ꆦh)(ꛎ)=-x(ꛎ)j,죴ꛎ<ꛎt,0,웤쯼.폚쫇퓚(4)훐좡h=ꆦh뗃떽q(ꛎ)tpb(ꛎ)(jt1-ꛋb(ꛎ))jtꇜq(ꛎ)x(ꛎ)j.(6)ꛎꇆ<ꛎt평(5)뫍(6)벴뗃(1)ꆣ쿂횤돤럖탔ꆣ볙짨q=(1,q)ꇊRk+1++쪹뗃(1)돉솢ꆣ죧맻쫐뎡듦퓚쳗샻h,퓲뛔쯹폐ꛎtꇊFt,1ꇜtꇜT-1,<(ꛎ0)(h(ꛎ0))ꇜ0,(7)<(ꛎ)(ꚤth(ꛎ))tꇜx(ꛎ)th(ꛎ-)t,(8)x(ꛎT)h(ꛎ-T)ꇝ0,(9)웤훐훁짙폐튻룶퇏룱늻뗈쪽돉솢ꆣ뛔죎틢ꛎtꇊFt,tꇜT-1,틔벰죎틢횤좯j,폃ꚤh(ꛎ)jtꇜ0돋(1)뗄뗚튻룶늻뗈쪽뗄솽뛋,폃ꚤh(ꛎ)jtꇝ0돋(1)뗄뗚뛾룶늻뗈쪽뗄솽뛋,뗃떽ꚤ)(1+ꛋa(ꛎ))ꚤ))jth(ꛎjt,ꚤh(ꛎjtꇝ0h(ꛎ)jtꇆq(ꛎ)x(ꛎ)jꇜq(ꛎ)tpa(ꛎjtꛎ<ꛎq(ꛎ)ttpb(ꛎ)(jt1-ꛋb(ꛎ))ꚤjth(ꛎ)jt,ꚤh(ꛎ)jtꇜ=q(ꛎ)t<(ꛎ)(ꚤ(ꛎ))붫짏쪽뛔쯹폐뗄횤좯j볓ퟜ,뗃떽ꚤh(ꛎ)tꛎꇆq(ꛎ)x(ꛎ)ꇜq(ꛎ)t<(ꛎ)(ꚤth(ꛎ))t.(10)<ꛎt퓚(8)쪽솽뛋춬돋틔q(ꛎ)t>0뗃q(ꛎ)(ꚤt<(ꛎ)th(ꛎ))tꇜq(ꛎ)tx(ꛎ)th(ꛎ-)t.(11)평(10)뫍(11),폐h(ꛎ)tq(ꛎ)x(ꛎ)ꛎꇆꇜh(ꛎ-)tꇆq(ꛎ)x(ꛎ).(12)<ꛎꛎΑꛎtt121' 1994-2014 China Academic Journal Electronic Publishing House. All rights reserved.
폚쫇,<(ꛎ0)(h(ꛎ0))=q(ꛎ0)<(ꛎ0)(ꚤh(ꛎ0))ꇝꚤh(ꛎ0)ꇆq(ꛎ)x(ꛎ)ꆡ(평(10))ꛎ<ꛎ0=h(ꛎ0)q(ꛎ)x(ꛎ)=h(ꛎ-1)ꇆq(ꛎ)x(ꛎ)ꛎꇆ<ꛎꛎꇆΑꛎꛎꇆ<ꛎꛎΑꛎ101101ꇝꛎꇆh(ꛎ1)q(ꛎ)x(ꛎ)ꆡ(평(12))<ꛎꛎꇆ<ꛎ101=ꛎꇆh(ꛎ-2)q(ꛎ)x(ꛎ)<ꛎꛎꇆ<ꛎꛎꇆΑꛎ10212ꇝꛎꇆh(ꛎ<ꛎꛎꇆ2)ꛎ)x(ꛎ)ꆡ(평(12))ꛎꇆq(<ꛎ<ꛎ10212ꇝꆭꇝꇝꛎꇆꆭh(ꛎT-1)q(ꛎ)x(ꛎ)<ꛎꛎꇆ<ꛎꛎꇆ<ꛎ110T-1T-2T-=ꇆꆭq(ꛎT)x(ꛎT)h(ꛎ-T)ꛎ<ꛎꛎꇆ<ꛎ10TT-1=q(ꛎꛎꇆ-T)x(ꛎT)h(ꛎT)ꇊFTꇝ0.(평(9))죧맻(7)캪퇏룱늻뗈쪽,퓲쯼폫짏쪽쎬뛜ꆣ죧맻(9)캪퇏룱늻뗈쪽,퓲짏쪽ퟮ뫳튻룶늻뗈쪽캪퇏룱뗄;죴(8)훐폐튻룶퇏룱늻뗈쪽,퓲(11)훐ꆢ듓뛸(12)훐훁짙폐튻룶퇏룱늻뗈쪽,뷸뛸짏쪽훐뗄늻뗈뫅훐훁짙폐튻룶캪퇏룱뗄;헢솽훖쟩탎뻹떼훂폫(7)쪽쎬뛜뗄뷡맻ꆣ샠쯆뗘뿉틔횤쏷:뚨샭3ꆡ쫐뎡M늻듦퓚잿쳗샻떱쟒뷶떱듦퓚헽뗄럇쇣쿲솿q=(1,q)ꇊRk+1+쪹뗃뛔쎿룶횤좯j뫍쎿룶럇훕뷡쫂볾ꛎtꇊFt,t<T폐q(ꛎ)tpb(ꛎ)(jt1-ꛋb(ꛎ))jtꇜq(ꛎ)x(ꛎ))jꇜq(ꛎtpa(ꛎ)(jt1+ꛋa(ꛎ))(jt.ꛎꇆ13)<ꛎtꆡꆡ죧맻붫q샭뷢캪쫂볾볛룱쿲솿,벴붫q(ꛎ)샭뷢캪쿠펦폚쫂볾ꛎ뗄Arrow횤좯뗄쪱뿌0볛룱,퓲뚨샭2뫍3뿉ퟶ헢퇹뗄뷢쫍:쫐뎡늻듦퓚쳗샻(잿쳗샻)떱쟒뷶떱듦퓚퇏룱헽뗄(헽뗄럇쇣)쫂볾볛룱,쪹뗃죎뫎횤좯퓚죎뫎럇훕뷡쫂볾뗄싲죫돉놾뗄쿖횵늻뗍폚룃횤좯퓚듋뫳닺짺뗄뫬샻쇷뗄쿖횵,뛸싴돶쫕틦늻룟폚룃횤좯퓚듋뫳닺짺뗄뫬샻쇷뗄쿖횵ꆣ뚨샭2뫍3쫇컞쒦닁뛠웚횤좯쫐뎡훐뗄닺뚨볛믹놾뚨샭퓚폐쒦닁뛠웚횤좯쫐뎡훐뗄췘햹ꆣ쯼쏇뇭쏷,퓚늻듦퓚쳗샻(잿쳗샻)뗄뛠웚횤좯쫐뎡훐,닺퓚죎뫎쪱뫲뗄싲싴볛룱뻹늻쫇캩튻뗄,뿉퓚쟸볤짏솬탸뚨볛ꆣ닺뗄싲죫볛룱폐튻룶쿂뷧,웤평싲죫닺뗄돉뇈샽붻틗럑뫍캴살뫬샻뻶뚨;닺뗄싴돶볛룱폐튻룶짏뷧,웤평싴돶닺뗄돉뇈샽붻틗럑뫍캴살뫬샻뻶뚨,벴뛔죎뫎횤좯j뫍죎틢럇훕뷡쫂볾ꛎt,ꇆpajꇝꛎ(ꛎ)x(ꛎ)jꇆ<ꛎq(ꛎ)x(ꛎ)jtpbjꇜꛎ<ꛎ(ꛎ)(t1+ꛋa(ꛎ,))jtq(ꛎ)(t1-ꛋb(ꛎ))jt쇹ꆢ뷡쫸폯놾컄폃컞쳗샻랽램퇐뺿쇋듦퓚싲싴볛닮ꆢ돉뇈샽붻틗럑뫍만뚨붻틗럑죽훖쒦닁뗄뛠웚횤좯쫐뎡훐뗄닺뚨볛,룸돶쇋헢훖쫐뎡훐뗄닺뚨볛믹놾뚨샭ꆣ뷡싛뇭쏷:쫐뎡쫇럱듦퓚쳗샻(잿쳗샻)폫만뚨붻틗럑컞맘;퓚늻듦퓚쳗샻뗄쳵볾쿂,닺뗄싲죫볛룱폐튻룶쿂뷧,웤평싲죫닺뗄돉뇈샽붻틗럑뫍캴살122' 1994-2014 China Academic Journal Electronic Publishing House. All rights reserved.
뫬샻뻶뚨;닺뗄싴돶볛룱폐튻룶짏뷧,웤평싴돶닺뗄돉뇈샽붻틗럑뫍캴살뫬샻뻶뚨ꆣ헢킩뷡맻튲뷒쪾쇋폐쒦닁뛠웚횤좯쫐뎡훐컞쳗샻뗄놾훊ꆣ틔췹맘폚폐쒦닁횤좯쫐뎡훐닺뚨볛뗄탭뛠뷡맻뿉틔ퟷ캪놾컄뷡맻뗄쳘샽뗃떽ꆣ퓚뷰죚쪵볹훐,뮹폐웤쯼쒦닁,죧샫즢쳘헷(횻쓜붻틗헻쫽쫖)ꆢ붻틗솿쿞훆(쿂쿞믲짏쿞)뗈ꆣ죧뫎붫닺뚨볛믹놾뚨샭췘햹떽냼몬헢킩쒦닁뗄룼튻냣뗄뛠웚횤좯쫐뎡?헢쫇튻룶탨튪룼뢴퓓뗄릤뻟ꆢ횵뗃짮죫퇐뺿뗄뿎쳢ꆣ[닎ꆡ뾼ꆡ컄ꆡ쿗]\[1\]ꆡModigliani,F.,andMiller,.(1958):TheCostofCapital,CorporationFinance,andtheTheoryofInvestment,AmericanEconomicReview48,261-297.\[2\]ꆡRoss,.(1978):,341-360.\[3\]ꆡRoss,.(1978):,453-485.\[4\]ꆡHarrison,.,andKreps,.(1979):MartingalesandArbitrageinMultiperiodSecuritiesMarkets,,381-408.\[5\]ꆡKreps,.(1981):,15-35.\[6\]ꆡGarman,.,andOhlson,.(1981):,271-280.\[7\]ꆡPrisman,.(1986):,545-560.\[8\]ꆡDermody,.,andPrisman,.(1993):,65-80.\[9\]ꆡDermody,.,andRockafellar,.(1991):,31-54.\[10\]ꆡJouini,E.,andKallal,H.(1995):,197-223.\[11\]ꆡJouini,E.,andKallal,H.(1995):,178-197.\[12\]ꆡJaschke,.(1998):,29-490.\[13\]ꆡPhamH.,andTouzi,N.(1999):,265-279.\[14\]ꆡDeng,,Li,.,andWang,.(2000)::Springer,309-319.\[15\]ꆡDeng,,Li,.,andWang,.(2002):(5):681-684.\[16\]ꆡ샮훙량,췴쫙퇴.춶ퟩ뫏폅뮯폫컞쳗샻럖컶\[M\].놱뺩:뿆톧돶냦짧,2001.\[17\]ꆡZhang,.,Xu,.,andDeng,.(2002):,89-97.\[18\]ꆡKabanov,Yu.,Àsonyi,andStricker,Ch.(2001):ꢦdeBesancon,Preprint.ꆾ퓰죎뇠벭:맹킡뚫ꆿ123' 1994-2014 China Academic Journal Electronic Publishing House. All rights reserved.
:ꆡnon2self2sufficiencyofExpositionalJurisprudence;ForensicEconomics;curriculumAReflectiononJurisMasterTrainingSystemLIUHeng(SchoolofLaw,Sun2Yet2SenUniversity,Guangzhou,510275)Abstract:ꆡ,ashighlevelinter2disciplinary,practicallawprofes2sionals,,,:ꆡJurisMaster;trainingsystem;inter2disciplinary;specialization;internationalizationAResearchonOrganizationalBehaviorofRegionalTechnologicalOrganizationinIndustrialClustersWANGJun(LingnanCollege,SunYat2senUniversity,Guangzhou,510275)Abstract:ꆡ,resourceandmechanism,thispaperputsforwardahypothesisthatasasortofincentivecontractarrangement,,general,integratedandadaptablebehavioralcharacteristicswhichexhibitintheinterplayoftheregionaltechno2logicalorganizationandtheenterprisespiinnovationaction,andonthedynamicregulationofitsfunctiontoadapttheneedofclusterenterprisespiinnovationabilityindifferentdevelopmentphases,:ꆡregionaltechnologicalorganization;quasi2publicorganization;industrialclustersNo2ArbitrageAsset2PricinginFrictionalMulti2periodSecuritiesMarketsLIZhong2fei(LingnanCollege,SunYat2senUniversity,Guangzhou,510275)Abstract:ꆡ' 1994-2014 China Academic Journal Electronic Publishing House. All rights reserved.
,proportionaltransactioncosts,:ꆡmulti2periodsecuritiesmarkets;bid2askspreads;proportionaltransactioncosts;fixedtransactioncosts;strongarbitrage;arbitrage;fundamentalassetpricingtheoremsIndustrialStructureUpgradingandTertiaryIndustryModernizationLIJiang2fan(SchoolofBusiness,SunYat2senUniversity,Guangzhou,510275)Abstract:ꆡAlongwithindustrialstructureupgrading,,,:ꆡIndustrialStructureUpgrading;TertiaryIndustryModernization;interiorstructure;service;proportionFinancialDevelopmentPriortoFinancialReform:AnAnalysisofAllocativeEfficiencyBasedonChinapisCurrentSituationLUJia2liu(SchoolofBusiness,SunYat2senUniversity,Guangzhou,510275)Abstract:ꆡIncontrasttothemainstreamofopinionsoncountermeasurestudyofimprovementonChinesefinancialefficiency,thispa2perbringsforwardanalternativeapproachtotheimprovementoffinancialefficiency,.,,itconcludesthatthemarketcompletenessdirectlyre2strictsfinancialallocativeefficiency,,:ꆡfinancialefficiency;marketcompleteness;financialindustry;structuralconstraint;Paretoimprovement144' 1994-2014 China Academic Journal Electronic Publishing House. All rights reserved.
