2006쓪뗚5웚솬탸뷸뮯뷰죚쒣탍폫좫뻖붥뷸뮯컈뚨닟싔3퇮헐뻼ꆡ쟘맺컄ꆡꆡ쓚죝쳡튪:놾컄퓋폃듯뛻컄짺컯뷸뮯싛쮼쿫퇐뺿솬탸붻틗뷰죚쫐뎡톡퓱뗄뚯첬뇤뮯벰튻냣뻹뫢맦싉ꆣ놾컄랢쿖늢횤쏷쇋:뷰죚닺ꆰ펮샻ꆱ뗄돤튪쳵볾쫇룃닺쿠뛔막쾢듳폚쿠뛔막볛;춶뇈샽뗈폚막쾢럖랢뇈샽뗄볲떥믬뫏닟싔쫇좫뻖붥뷼뷸뮯컈뚨닟싔;퓚뻹뫢쳵볾쿂,뛔펦뗄뷰죚닺볛룱뗈폚룃닺막쾢햼ퟜ막쾢뗄뇈샽뗄쫽톧웚췻;쫐뎡뇤틬믲뷰죚뒴탂쫇폐킧쫐뎡탎돉뗄뚯솦;좫뻖붥뷼뷸뮯컈뚨닟싔튵벨뿉쓜퓚쒳킩쪱뫲늻쫇ퟮ뫃뗄,떫횻튪웤돵쪼닆뢻듳폚쇣,ퟮ훕붫뿘훆쫐뎡짏뗄쯹폐닆뢻,뛸볲떥믬뫏닟싔,뿉쓜퓚쒳룶쪱뫲튵벨폅솼,좻뛸,퓚쫐뎡듦퓚좫뻖붥뷼뷸뮯컈뚨닟싔뗄쳵볾쿂,횻튪웤돵쪼닆뢻럝뛮킡폚1,ퟮ훕뿘훆뗄닆뢻쟷쿲폚쇣,듓뛸놻쫐뎡쯹쳔청ꆣ맘볼듊:뷸뮯뷰죚ꆡ쫐뎡톡퓱ꆡ좫뻖붥뷼뷸뮯컈뚨닟싔ꆡ뷰죚뒴탂ꆡ닺뚨볛튻ꆢ틽ꆡ퇔쿖듺뺭볃톧폫뷰죚톧뗄튻룶뫋탄쮼쿫쫇볙짨춶헟캪샭탔뗄,늢틔ퟮ듳뮯웚췻쫕틦캪쒿뇪톰쟳ퟮ폅뗄춶뻶닟ꆣ헢튻훸쏻볙짨뗄틀뻝살ퟔAlchian(1950)ꆢFriedman(1953)ꆢFama(1965)뗈죋뗄ꆰ쫐뎡믲ퟔ좻톡퓱ퟮ훕떼훂폐킧쫐뎡ꆱ뗄훸쏻닂쿫,헢튻닂쿫뗄훷튪몬틥뻍쫇:죧맻춶헟늻틔ꆰ웚췻쫕틦ퟮ듳뮯ꆱ캪쒿뇪뷸탐샭탔뻶닟,듓뎤풶살쮵,뻍믡ퟮ훕놻쫐뎡쯹쳔청,뻍쿱ꆰ쇓뗈짺컯ꆱퟮ훕놻ퟔ좻뷧쯹쳔청튻퇹ꆣ탨튪잿뗷뗄쫇,헢샯뗄샭탔뻶닟튪쟳춶헟뛔캴살폐헽좷뗄풤웚,믲헟쮵뛔캴살뿉쓜돶쿖뗄쫕틦뗄룅싊럖늼폐헽좷뗄맀볆,평듋뗃떽뗄튻룶믹놾뷡싛쫇:뷰죚닺(막욱)뗄릫욽볛룱뗈폚캴살막쾢쫕틦쇷뗄쳹쿖횵뗄쫽톧웚췻ꆣ좻뛸,헢튻훸쏻뷡싛폫Shiller(1981)뺭퇩볬퇩쿠캥놳,늢틽랢ퟮ뷼뗄탐캪뷰죚톧뛔쿖듺뷰죚샭싛뗄뗄쳴햽ꆣ퓚탐캪뷰죚톧폫쿖듺뷰죚톧헹싛늻택뗄쪱뫲,ퟮ뷼,EvstigineevHensandSchenk2Hoppꢦ(2006)춨맽붨솢샫즢쪱볤뷸뮯뷰죚뚯첬쒣탍,싛횤쇋막욱쫐뎡쫇뷸뮯컈뚨뗄돤럖뇘튪쳵볾캪막욱(쿠뛔)볛룱뗈폚캴살(쿠뛔)막쾢쫕틦쇷뗄쳹쿖횵뗄쫽톧웚췻,듓뛸캪쿖듺뷰죚샭싛쳡릩쇋탂뗄샭싛틀뻝ꆣ뷰죚쒣탍뿉틔볲떥뗘럖캪샫즢쪱볤쒣탍뫍솬탸쪱볤쒣탍솽샠,샫즢쪱볤쒣탍볲떥횱맛ꆢ틗폚럖컶샭뷢,좻뛸,솬탸쪱볤쒣탍룼럻뫏뷰죚붻틗뗄쪵볊쟩탎,늢쟒췹췹뿉틔룼캪돤럖뗘펦폃쿖듺럖컶릤뻟,뗃떽뇈샫즢쪱볤쒣탍룼짮뿌뗄뷡맻ꆣ쫂쪵짏,쿖듺쫽샭뷰죚쒣탍튻냣쫇솬탸쪱볤쒣탍ꆣ놾컄쳘즫뇭쿖퓚:퓚EvstigineevHensandSchenk2Hoppꢦ(2006)뗄샫즢쪱볤뷸뮯뷰죚뚯첬쒣탍믹뒡짏,춨맽쫊떱뗄벫쿞퓋쯣,붨솢솬탸쪱볤뷸뮯뷰죚뚯첬쒣탍,룼훘튪뗘,룹뻝헢튻쒣탍랢쿖늢횤쏷쇋:뷰죚닺ꆰ펮샻ꆱ뗄돤튪쳵볾쫇룃닺쿠뛔막쾢폫쿠뛔막볛뗄짌듳폚1;춶뇈샽뗈폚막쾢럖랢3ꆡ퇮헐뻼,뫾쓏듳톧뺭볃폫쎳틗톧풺,폊헾뇠싫:410082,뗧ퟓ탅쿤:zjyang@ꆣ쟘맺컄,뫾쓏듳톧뺭쎳톧풺,폊헾뇠싫:410079;뫾쓏짧믡뿆톧풺,폊헾뇠싫:410003,뗧ퟓ탅쿤:qgw@ꆣ놾컄쫇뫾쓏듳톧ꆰ985릤돌ꆱ헜톧짧믡뿆톧뒴탂믹뗘ꆰ뺭볃뾪럅폫쎳틗랢햹ꆱ쿮쒿ꆢ뫾쓏쪡ퟔ좻뿆톧믹뷰훺쿮쒿(No104JJ3009)ꆢ뫾쓏짧믡뿆톧믹뷰훺쿮쒿(No104YB062)뗄돉맻ꆣ놾컄뗚튻ퟷ헟룐킻펢맺샻듳톧짌톧풺KlausReinerSchenk2Hoppꢦ뷌쫚퓚쯻럃컊웚볤룸폨뗄냯훺ꆣ컄훐늿럖쮼쿫살ퟔ폫Schenk2Hoppꢦ뷌쫚뗄쳖싛ꆣퟷ헟룐킻쓤쏻짳룥죋뗄놦맳틢볻ꆣ41' 1994-2009 China Academic Journal Electronic Publishing House. All rights reserved.
퇮헐뻼ꆢ쟘맺컄:솬탸뷸뮯뷰죚쒣탍폫좫뻖붥뷸뮯컈뚨닟싔뇈샽뗄볲떥믬뫏닟싔쫇좫뻖붥뷼뷸뮯컈뚨닟싔;퓚뻹뫢쳵볾쿂,뛔펦뗄뷰죚닺볛룱뗈폚룃닺막쾢햼ퟜ막쾢뗄뇈샽뗄쫽톧웚췻;쫐뎡뇤틬믲뷰죚뒴탂쫇폐킧쫐뎡탎돉뗄뚯솦,죧맻쎻폐뷰죚뒴탂,쯹폐춶헟뚼닉폃죎틢튻룶쿠춬뗄볲떥믬뫏닟싔,뷰죚닺뗄볛룱뻍뿉쓜놻얤쟺돉죎뫎뿉쓜뗄볛캻;좫뻖붥뷼뷸뮯컈뚨닟싔튵벨뿉쓜퓚쒳킩쪱뫲늻쫇ퟮ뫃뗄,떫횻튪웤돵쪼닆뢻듳폚쇣,ퟮ훕붫뿘훆쫐뎡짏뗄쯹폐닆뢻,뛸뛔폚웤쯻죎뫎늻춬뗄볲떥믬뫏닟싔,뿉쓜퓚쒳룶쪱뫲튵벨폅솼,좻뛸,퓚쫐뎡듦퓚좫뻖붥뷼뷸뮯컈뚨닟싔뗄쳵볾쿂,횻튪웤돵쪼닆뢻럝뛮킡폚1,ퟮ훕뿘훆뗄닆뢻쟷쿲폚쇣,듓뛸놻쫐뎡쯹쳔청ꆣ쿠뇈EvstigineevHensandSchenk2Hoppꢦ(2006)뗃떽뗄뻖늿붥뷼뷸뮯컈뚨닟싔,놾컄뗃떽뗄좫뻖붥뷼뷸뮯컈뚨닟싔폐ퟅ짮풶뗃뛠뗄틢틥,헢킩뷡싛퇏룱뗘쮵쏷쇋Alchian(1950)ꆢFriedman(1953)ꆢFama(1965)뗈뗄ꆰ쫐뎡믲ퟔ좻톡퓱떼훂폐킧쫐뎡ꆱ뗄훸쏻닂쿫돉솢뗄쳵볾,퓚튻뚨돌뛈짏,뿉틔뾴돉쫇뛔쿖듺뷰죚톧폫탐캪뷰죚샭싛헹싛뗄헢튻컊쳢뗄튻룶헛훐믘듰ꆣ뛾ꆢ솬탸붻틗닺엤훃뚯첬쒣탍캪쇋틽돶놾컄뗄솬탸쒣탍,놾뷚쫗쿈퓚EvstigineevHensandSchenk2Hoppꢦ(2006)믹뒡짏,춨맽럇쪵훊탔뗄뇤뚯,붨솢튻룶샫즢뗄닺엤훃쒣탍,좻뫳,쇮붻틗쪱볤볤룴ꚤt쟷쿲쇣,춨맽좡벫쿞떼돶놾뷚뗄솬탸붻틗닺엤훃뚯첬쒣탍ꆣ볙짨쫐뎡훐폐K훖늻춬뗄닺,쎿훖닺뗄ퟜ솿쫇만뚨뗄(늻쪧튻냣탔볙짨캪1),닺볛룱췪좫평릩쟳캨튻뻶뚨,쎿훖닺퓚쎿룶붻틗쪱뿌잰횧뢶튻뚨쫽솿뗄막쾢(쿻럑욷),볇캪Dkt,k=1,ꚫ,K,헢샯t쫇붻틗쪱뿌,쿻럑욷뗄볛룱볇캪0pt,좻뫳춶헟쿻럑,퓙붫쪣폠뗄폃살춶ꆣ쯹폐춶헟룹뻝닟싔늻춬럖돉I샠,쎿튻샠춶헟닉폃쿠춬뗄닟싔,닟싔폫춶헟럖샠튻튻뛔펦,맊틔뫳틔닟싔살듺쳦뛔늻춬샠탍춶헟뗄돆뫴ꆣ캪쇋릫욽뗘뇈뷏늻춬닟싔뗄춶킧맻,볙짨쎿룶닟싔퓚떥캻쪱볤쓚쿻럑쿠춬뗄닆뢻뇈샽,웤횵캪좷뚨뗄뎣쫽c>0ꆣ쯹폐닟싔뗄춶뇈샽만뚨쟒듳폚쇣(벴볲떥믬뫏닟싔)ꆣ룼뻟쳥뗘쮵,쎿룶닟싔퓚쎿룶닺뚼폐춶(춶뛮듳폚쇣),춶뛮햼닆뢻뇈샽쫇럇쯦믺뗄,뛸쟒늻쯦쪱볤뇤뮯,캪룸돶쫽톧쏨쫶,볇뻘헳ꚫ=(ꛋik)KꇁI,웤훐Kꇆꛋik=1,0<ꛋik<1,i=1,ꆭ,I(1)k=1퓲뛔펦뗄볲떥믬뫏닟싔뿉폃뻘헳ꚫ(1-cꚤt)뇭쪾,웤훐ꛋik(ꚤt)ꇔꛋik(1-cꚤt)(2)뇭쪾닟싔i춶폚닺k뗄뇈샽ꆣ평듋뿉횪,퓚쎿룶붻틗쪱뿌,닟싔i폃폚쿻럑뗄닆뢻뇈샽캪1-ꇆkꛋik=1k(ꚤt)=cꚤt,벴쎿룶닟싔뚼쫇튻퇹뗄ꆣ볙짨쎿룶닟싔뿘훆뗄닆뢻(뛔펦뗄춶헟샠뻟폐뗄닆뢻)돵횵듳폚쇣,웤닆뢻쫕틦살풴쫇막쾢뫍놾퓶틦,쯹폐닟싔톡퓱뗄쒿뗄뻍쫇쪹웤뿘훆뗄닆뢻뇈샽ퟮ듳뮯,죧맻헢룶뇈샽쫽쟷폚쇣,뻍틢캶ퟅ룃닟싔놻쫐뎡쯹쳔청,죧맻뇈샽쫽쟷폚1,뻍뇭쏷뿘훆쇋쫐뎡쯹폐닆뢻믲닺,튲뻍쫇쮵,쯹폐춶헟뚼닉폃룃닟싔뷸탐춶,듋쪱,쿠펦뗄춶뇈샽캩튻뻶뚨쇋룷닺뗄볛룱ꆣ볇닟싔퓚쪱뿌t뿘훆뗄닆뢻캪wit,쿲솿wtꇔ(w1t,ꚫ,wI)t,헢샯럻뫅ꆰꇤꆱ뇭쪾뻘헳훃퓋쯣,쿲솿ꛋk(ꚤt)ꇔ(ꛋ1k(ꚤt),ꚫ,ꛋIk(ꚤt))ꇤ,쿲솿ꛋkꇔ(ꛋ1k,ꚫ,ꛋIk)ꇤꆣ폖볇닟싔i퓚쪱뿌t햼폐닺k뗄럝뛮캪ꛈit,k,쿔좻폐ꛈꛋiik(ꚤt)wiꛋitkwitt,k=ꛋꇤk(ꚤt)w=ꛋtꇤ(kw3)t폚쫇,룹뻝EvstigineevHensandSchenk2Hoppꢦ(2006)뗄뷡맻,컒쏇뗃떽죧쿂샫즢쪱볤닆뢻엤훃뗄뚯42' 1994-2009 China Academic Journal Electronic Publishing House. All rights reserved.
2006쓪뗚5웚첬랽돌:Kwi0(t+ꚤ(t=ꇆpt+ꚤtDkt+ꚤt+ꛋꇤk(ꚤt)wt+ꚤ)ꛈitt,k,i=1,ꆭ,I4)k=1볙짨ퟷ캪막쾢뗄쿻럑욷쫇늻쓜뒢듦뗄(perishable),틲듋쎿룶쪱웚뗄쿻럑ퟜ솿뗈폚ퟷ캪막쾢뗄쿻럑욷ퟜ솿,폚쫇폐죧쿂쫐뎡뷡쟥쳵볾IKIꇆꇆ0pt+ꚤꚤtDkt+ꚤꛈitt,k=ꇆctwit+ꚤ3(t5)i=1k=1i=1틲캪뛔쎿훖닺,룷닟싔햼폐뗄럝뛮횮뫍뗈폚1,벴Iꇆꛈit,k=1(6)i=1폚쫇,쫐뎡뷡쟥쳵볾돉캪0pt+ꚤtDt+ꚤt=cꚤtWt+ꚤ(t7)웤훐Dt+ꚤtꆢWt+ꚤt럖뇰뇭쪾퓚쪱뿌t+ꚤt럖랢뗄쿻럑욷ퟜ솿틔벰럖랢막쾢뫳쟒캪쿻럑잰쫐뎡닆뢻ퟜ솿,벴KIDt+ꚤtꇔꇆDkt+ꚤt,Wt+ꚤtꇔꇆwit+ꚤ3(t8)k=1i=1ꆡꆡ뿉틔냑쎿룶닺뾴돉쫇짺닺쿻럑욷뗄ꆰ믺웷ꆱ,릺싲닺쫇틲캪ꆰ믺웷ꆱ쓜듸살쿻럑욷,쫐뎡닆뢻ퟜ솿뻍쫇헢킩ꆰ믺웷ꆱ뗄볛횵ퟜ뫍Wt+ꚤt,펦룃쫇만뚨뗄(늻쯦쪱볤뇤뮯),떫쒣탍(4)늢늻뻟폐헢튻쳘뗣,풭틲쫇평릩쟳뻶뚨뗄볛룱뇘좻쯦릩쟳뇤뮯뛸랢짺룄뇤ꆣ쳘뇰횸돶,닟싔벨킧움볛늻틋맢뾴닆뢻ퟜ솿뛠짙,룼튪뾴뻶뚨폚닟싔뿘훆뗄쿠뛔닆뢻뗄뇤뮯ꆣ캪듋,볇irt뇭쪾닟싔i퓚쪱뿌t뿘훆뗄쿠뛔닆뢻,벴irtꇔwitΠWt,틔벰kdt+ꚤt뇭쪾닺k퓚쪱뿌t+ꚤt횧뢶뗄쿻럑욷햼ퟜ쿻럑욷뗄뇈샽,벴kdt+ꚤtꇔDkt+ꚤtΠDt+ꚤt,퓲평(4)ꆢ(7)쪽뗃떽룷닟싔뿘훆뗄닆뢻뇈샽뇤뮯뗄뚯첬랽돌Kirt+ꚤt=ꇆ(cꚤktdt+ꚤt+ꛋꇤk(ꚤt)rt+ꚤ)ꛈitt,k,i=1,ꆭ,I(9)k=1웤훐쿲솿1rt+ꚤt=(rt+ꚤt,ꚫI,rt+ꚤ)t뇭쪾룷닟싔퓚쪱뿌t+ꚤt뿘훆뗄닆뢻뇈샽ꆣ틽죫뻘헳ꚨtꇔ(ꛈit,k)Iꇁk,쿲솿,퓲뿉틔뗃떽(9)뗄뻘헳탎쪽-1rt+ꚤt=cꚤt[Id-(1-cꚤt)ꚨꚫt](ꚨtdt+ꚤ)(t10)웤훐Id뇭쪾I뷗떥캻뻘헳ꆣ틲ꚤt>0,럂헕EvstigineevHensandSchenk2Hoppꢦ(2006)쏼쳢1뗄횤쏷,틗횤,쓦뻘헳[Id-(1-cꚤt)ꚨꚫ-1t]듦퓚,쯹틔,평막쾢ꆢ닟싔벰떱잰닆뢻뇈샽뿉틔캩튻뻶뚨쿂튻룶쪱뿌뗄닆뢻뇈샽ꆣ캪볲뮯탰쫶,볇뻘헳Aꇔ(a)i,jIꇁIꇔꚨꚫt,쿲솿zꚤtꇔi(zꚤ)tIꇁ1ꇔꚨtdt+ꚤt,늻쓑횤쏷IIꇆai,j=1,j=1,ꆭ,I,ꇆizꚤt=1(11)i=1i=1평폚튻냣쟩뿶(I>2)늻쓜벯훐춹쿖컊쳢뗄튪뗣,뛸쟒,닟싔뗄폅쇓뿉틔춨맽솽솽뇈뷏쳥쿖돶살,쯹틔,틔쿂볙짨쫐뎡짏뷶폐솽룶늻춬뗄볲떥믬뫏닟싔,벴I=2ꆣ폚쫇,룹뻝(10)쪽뗃떽뚨샭1ꆡ볙짨쫐뎡짏뷶폐솽룶늻춬뗄볲떥믬뫏닟싔,퓲닟싔뿘훆뗄닆뢻뇈샽싺ퟣ1rt+ꚤt=21-rt+ꚤt32cꚤtzꚤt-(cꚤt-1)a(12)2,1rt+ꚤt=(a1,2+a2,1)+cꚤt(a2,2-a2,1)틔벰43' 1994-2009 China Academic Journal Electronic Publishing House. All rights reserved.
퇮헐뻼ꆢ쟘맺컄:솬탸뷸뮯뷰죚쒣탍폫좫뻖붥뷸뮯컈뚨닟싔112ꚤliꇺmrt+ꚤt=rt,ꚤlimrt+ꚤtt0+tꇺ=11-rt=2r3(t13)0+ꆡꆡ듓뺭볃틢틥뷇뛈(13)쪽쫇쿔좻펦룃돉솢뗄,떫죔좻폐뇘튪춨맽샫즢쒣탍(19)횤쏷헢튻뗣ꆣ놾컄냑랱쯶뗄쫽톧횤쏷뚼럅퓚뢽슼늿럖,듋췢,짦벰떽쯦믺맽돌뗄쳵볾폫뷡싛뚼쫇횸벸뫵뒦뒦돉솢ꆣ쿂쏦쇐돶놾뷚뗄훷튪뷡맻,벴솬탸붻틗닺엤훃뚯첬쒣탍:뚨샭2ꆡ볙짨쿠뛔막쾢맽돌k(d)tt>0,k=1,ꚫ,K쫇췢짺뗄맬뗀솬탸뗄쯦믺맽돌,퓲닟싔1ꆢ닟싔2뿘훆뗄닆뢻뇈샽맽돌12rt,rt럖뇰쫇죧쿂뻟폐쯦믺쾵쫽뗄쯦믺캢럖랽돌뗄뷢:k111ꛋ11dtkrtꛋ11krt+ꛋ21-1drꇆKk=1tcz0-crtk(1-r)t==c(14)dta1,2+a2,1ꇆKꛋ12kꛋkk=1ꛋ111kr)t+ꛋ2k(1-rt틔벰k2122drtdrtczꇆKꛋ22dtkrtk=1ꛋ122-10-crtk(1-r)t+ꛋ2krt===cdtdta1,2+a1(15)2,1ꇆKꛋkꛋ2kk=1ꛋ12k(1-r)ꛋ22t+krtꆡꆡ닎폫쫐뎡뺺헹뗄닟싔1폫닟싔2뗄뗘캻쫇뛔돆뗄,쯹틔솬탸쒣탍(14)폫(15)놾훊짏쫇튻퇹뗄,늻쪧튻냣탔,헢샯훷튪룸돶쒣탍(15)퓌몬뗄뺭볃틢틥ꆣ쫗쿈힢틢떽,늻춬폚샫즢쒣탍,솬탸쒣탍(14)ꆢ(15)훐ꛋik뇭쪾닟싔i춶폚닺k뗄닆뢻뇈샽,틲듋,퓚쪱뿌t춶폚닺k뗄쿠뛔ퟜ솿뻍쫇ꛋ12k(1-r)t+ꛋ22krt,평폚쎿룶닺뗄ퟜ솿뚼맦랶뮯캪221,맊쿠뛔ퟜ솿ꛋ1k(1-r)t+ꛋ2krt쪵볊짏뻍쫇닺k뗄쿠뛔볛룱,틔뫳붫웤볇캪kpt,듓(14)믲(15)죝틗뗃떽죧맻쿠뛔막쾢kdt킡폚쿠뛔볛룱kpt,퓲룃닺떼훂춶헟뗄ퟜ닆뢻럝뛮복짙;랴횮,퓲돶쿖췪좫쿠랴뗄쟩탎ꆣ쯹틔,죧맻룸돶죧쿂뚨틥:뚨틥1ꆡ쯹캽ꆰ펮샻ꆱ춶뻍쫇횸쪹춶헟닆뢻햼폐뇈샽퓶볓뗄춶ꆣ퓲쒣탍(15)듓샭싛짏싛횤쇋죧쿂횱맛뷡싛뗄헽좷탔:췆싛1ꆡ움볛튻룶뷰죚닺춶쫇럱ꆰ펮샻ꆱ뗄뇪ힼ쫇룃닺쿠뛔막쾢폫쿠뛔막볛뗄짌ꆰ;펮샻ꆱ뗄돤튪쳵볾쫇쿠뛔막쾢폫쿠뛔막볛뗄짌듳폚1,뗈볛뗘쮵ꆰ,펮샻ꆱ뗄돤튪쳵볾쫇쿠뛔막쾢듳폚쿠뛔막볛ꆣ쒣탍(15)뮹뇭쏷,닟싔2뗄ퟩ뫏춶ꛋ2k,k=1,ꆭ,K떼훂뗄닆뢻뇈샽쫇퓶볓뮹쫇복짙뻶뚨폚쯹폐닺뗄쿠뛔막쾢폫쿠뛔막볛뗄짌뗄볓좨뫍쫇럱듳폚쇣,뛸폫쿻럑쯙싊c뗄듳킡컞맘,떫쿻럑쯙싊풽듳,닆뢻뇈샽퓶볓믲복짙뗄쯙뛈뻍믡풽뿬ꆣ죽ꆢ좫뻖붥뷼뷸뮯컈뚨닟싔놾뷚쫗쿈횤쏷,뛔죎틢췢짺뗄쿠뛔막쾢맽돌뫍죎틢룸뚨뗄볲떥믬뫏닟싔,솬탸쒣탍(14)ꆢ(15)캩튻뗘좷뚨쇋뛔펦뗄뗄닆뢻뇈샽뇤뮯맽돌,춬쪱횸돶닆뢻뇈샽뇤뮯뗄뚯첬탔훊,좻뫳떼돶좫뻖컈뚨뷸뮯닟싔,좷뚨닺튻냣뻹뫢볛룱ꆣ쫗쿈룸돶뚨샭3ꆡ뛔폚죎뫎돵쪼쳵볾12r0,r0ꇊ1[0,1],r0+2r0=1ꆢ췢짺룸뚨뗄솬탸쿠뛔막쾢맽돌틔벰볲떥믬뫏닟싔0<ꛋ1k<1,0<ꛋ2k<1,k=1,ꆭ,K,뻟폐쯦믺쾵쫽뗄캢럖랽돌(14)ꆢ(15)뻟폐캩튻뗄뷢맽돌12{rt,rt}tꇝ0ꆣ뛔펦뗄뷢럖뇰뇭쪾캪:44' 1994-2009 China Academic Journal Electronic Publishing House. All rights reserved.
2006쓪뗚5웚kduꛋ1tꇆKkk=111ꛋ11kru+ꛋ2k(rt=r0+cꇒ1-11-ru)1rudu(16)0ꇆKꛋ1kꛋ2k1ꛋ111k=kru+ꛋ2k(1-ru)틔벰kꇆKduꛋ2k11k=12ꛋk(1-ru)+ꛋ22-1krut=2rr0+cꇒt21rudu(17)0ꇆKꛋkꛋ2kꛋ1222k=1k(1-ru)+ꛋkruꆡꆡ죝틗퇩횤,뛔펦2(16)ꆢ(17)뗄뷢싺ퟣ1rt+rt=1ꆣ듋췢,죝틗뾴돶,(14)ꆢ(15)폐솽룶쿔좻뗄만뚨뷢(컈뚨뗣12):뛔쯹폐뗄t,rt=0,rt=1믲헟1rt=21,rt=0ꆣ룹뻝뷢뗄캨튻탔,뛔죎뫎돵쪼쳵볾12r0,r0ꇊ1(0,1),r0+2r0=1,뛔펦뗄뷢뇘좻싺ퟣ20<1rt,rt<1ꆣ짐죴늻좻,샽죧,뛔쒳룶t>0,돶쿖1rt=21,rt=0,헢뇭쏷춨맽쿠뿕볤뗄뗣(1,0)폐솽룶맬뗀,쇭튻룶뻍쫇컈뚨뗣:뛔쯹폐뗄1t,rt=21,rt=0ꆣ헢폫뚨샭3맘폚뷢뗄캨튻탔뷡싛쿠쎬뛜ꆣ폚쫇,컒쏇뗃떽:췆싛2ꆡ뛔폚돵횵쳵볾ir0=0(1),i=1,2,뛔쯹폐t>0,쿠펦뗄뷢뫣폐irt=0(1)(컈뚨뗣);뛔폚돵횵쳵볾0<ir0<1,i=1,2,뛔쯹폐t>0,쿠펦뗄뷢뫣폐0<irt<1ꆣ룃췆싛춬쪱뇭쏷,뛔폚볲떥믬뫏닟싔폀풶튲늻믡돶쿖웆닺,룼늻믡돶쿖뢺햮쿖쿳ꆣ떫쫇,컒쏇붫뾴떽,죴웤훐폐튻룶쫇ퟮ폅뗄닟싔,벴좫뻖붥뷼뷸뮯컈뚨닟싔,뛸쇭튻룶닟싔쫇폫웤늻춬뗄죎뫎웤쯻볲떥믬뫏닟싔,퓲룃닟싔햼폐뗄닆뢻뇈샽붫컞쿞쟷쿲폚쇣ꆣ컒쏇룸돶좫뻖붥뷼뷸뮯컈뚨닟싔뚨틥죧쿂:뚨틥2ꆡ죧맻닟싔i,벴ꛋik,k=1,ꆭK,싺ퟣ:뛔죎뫎폫닟싔i늻췪좫쿠춬뗄닟싔j,틔벰닟싔i뿘훆뗄죎뫎듳폚쇣뗄돵쪼닆뢻뇈샽,벴ir0>0,닟싔i뿘훆뗄닆뢻뇈샽쯦ퟅ쪱볤뗄췆틆ퟮ훕쟷쿲폚1,벴폐ilimtꇺꇞrt=1ꆣ퓲돆닟싔i쫇좫뻖붥뷼뷸뮯컈뚨뗄ꆣ힢3ꆡ퓚샫즢쪱볤붻틗쳵볾쿂,EvstigineevHensandSchenk2Hoppꢦ(2006)뗃떽쇋뻖늿붥뷼뷸뮯컈뚨닟싔,떫쫇,뻖늿붥뷼뷸뮯컈뚨폫좫뻖붥뷼뷸뮯컈뚨폐ퟅ훘듳뗄쟸뇰,잰헟튪쟳돵횵ir0돤럖뾿뷼1,뛸놾컄붲떽뗄좫뻖붥뷼뷸뮯컈뚨닟싔횻튪돵횵ir0>0벴뿉ꆣ틲듋,놾컄뗄뷡싛뇈EvstigineevHensandSchenk2Hoppꢦ(2006)튪짮뿌뗃뛠ꆣ듋췢,Evstigineev,HensandSchenk2Hoppꢦ(2005)춬퇹뗃떽쇋튻룶좫뻖붥뷼뷸뮯컈뚨닟싔,폫놾컄폐튻킩쿠쯆횮뒦ꆣ떫쫇,룃컄퇐뺿뗄쫇샫즢쒣탍,쟒웤좫뻖붥뷼뷸뮯컈뚨닟싔뗄췆떼뫜뢴퓓ꆣ놾컄퇐뺿뗄쫇솬탸쒣탍,닉폃쇋췪좫늻춬뗄췆떼랽램,춨맽쟳뷢튻룶쫽톧맦뮮컊쳢,쟉쏮뛸폖볲떥뗘뗃떽쇋좫뻖붥뷼뷸뮯컈뚨닟싔ꆣ캪쇋떼돶놾컄뗄좫뻖붥뷼뷸뮯컈뚨닟싔,볙짨쿠뛔막쾢쫇뻹횵욽컈뗄뛀솢맽돌,싺ퟣE=k(d)tꇔꮅdk,k=1,ꚫ,K,쿔좻ꇆKꮅdk=1,0<ꮅdk<1ꆣ볇ꛋ3ꇔ(ꛋ31,ꆭ,ꛋ3K)ꇤ,웤훐ꛋ31ꇔꮅd1,ꆭ,k=1ꛋ3KꇔꮅdK,죝틗뾴돶ꛋ3쫇튻룶볲떥믬뫏닟싔,늻뷶죧듋,컒쏇붫횤쏷ꛋ3뻍쫇좫뻖붥뷼뷸뮯컈뚨닟싔ꆣ캪듋,뚨틥몯쫽ꮅ2dkꛋk=1ꛋ1k(1-x)+ꛋ2-1kxG(ꛋ1,ꛋ2,x)ꇔꇆKkc1x(18)ꇆKꛋkꛋ2kk=1ꛋ1k(1-x)+ꛋ2kx쿈룸돶죧쿂틽샭:틽샭1ꆡ볙짨쿲솿ꛋ2=(ꛋ21,ꆭ,ꛋ2K)쫇죎틢튻룶폫ꛋ3늻춬뗄볲떥믬뫏닟싔,퓲뛔쎿룶xꇊ(0,45' 1994-2009 China Academic Journal Electronic Publishing House. All rights reserved.
퇮헐뻼ꆢ쟘맺컄:솬탸뷸뮯뷰죚쒣탍폫좫뻖붥뷸뮯컈뚨닟싔1),뫣폐G(ꛋ3,ꛋ2,x)<0ꆣ힢틢떽(15)뿉틔뗈볛뗘킴돉k2drꇆK(dt-ꮅdk)ꛋ2kꛋ12k=1tk(1-r)t+ꛋ22krt=G2(ꛋ3,ꛋ22,r)t+cd1r(t19)tꇆKꛋkꛋ2kk=1ꛋ122k(1-r)t+ꛋ2krt뛔폚죎뫎돵쪼쳵볾0<2r0<1,평췆싛2,뫣폐0<2rt<1,듓뛸(19)뗄폒뇟뗚1쿮뫣킡폚쇣,(19)뗄폒뇟뗚2쿮쫇뻹횵캪쇣뗄쯦믺늨뚯,틲듋,뛔폚돤럖듳뗄쪱볤2t,rt뇘붫돤럖뾿뷼쇣ꆣ컒쏇뗃떽죧쿂뷡싛:뚨샭4ꆡ볙짨췢짺뗄쿠뛔막쾢맽돌kdt,k=1,ꆭ,K쫇뻹횵욽컈맽돌,쟒쿠뛔막쾢뛀솢폚떱잰닆뢻쮮욽i(r)t,i=1,2ꆣ좡볲떥믬뫏닟싔ꛋ1=ꛋ3,ꛋ2ꇙꛋ1,돵쪼쳵볾싺ퟣ0<2r0=11-r0<1,퓲닟싔1벴볲떥믬뫏닟싔ꛋ3쫇좫뻖붥뷼뷸뮯컈뚨뗄닟싔,웤뿘훆뗄닆뢻뇈샽쟷쿲폚1,닟싔2뿘훆뗄닆뢻뇈샽쟷쿲폚쇣,듓뛸ퟮ훕닟싔2놻쫐뎡쯹쳔청ꆣ뻟쳥뗘폐lim1tꇺꇞrt=1(.),lim2tꇺꇞrt=0(.)(20)웤훐.뇭쪾뻹랽쫕솲ꆣ튪쮵쏷뗄벸뗣쫇:(i)뫜쏷쿔,룃뚨샭쪵볊짏튲뇭쏷쇋:좫뻖붥뷼뷸뮯컈뚨닟싔쫇캩튻뗄,뛔펦뗄컈뚨뗣쫇좫뻖붥뷼뷸뮯컈뚨뗄,쫇늻뿉쟖죫뗄,춬쪱,죎뫎웤쯻뗄볲떥믬뫏닟싔뚼쫇뿉틔놻쟖죫뗄,듓뛸뛔펦뗄컈뚨뗣쫇뷸뮯늻컈뚨뗄;(ii)춨맽볆쯣믺럂헦볆쯣뇭쏷,횻튪쿠뛔막쾢쫇뻹횵욽컈뗄쯦믺맽돌,뚨샭뷡싛틀좻돉솢,떫컒쏇쒿잰뮹늻쓜듓쫽톧짏횤쏷헢튻뗣;(iii)ꆰ쟖죫ꆱ뻍쫇뇤틬,쿠떱폚뷰죚톧뗄뷰죚뒴탂ꆣ틲캪뷰죚닺뗄쿠뛔볛룱평릩쟳맘쾵춨맽뗈쪽k1pt=ꛋ12kr(t+ꛋ2krtk=1,ꆭ,K)뛸캩튻좷뚨,폚쫇,퓚쯹폐춶헟뚼닉폃쿠춬뗄닟싔틔벰튻냣뻹뫢쳵볾쿂,럖뇰뗃떽죧쿂뷰죚닺뗄뚨볛릫쪽:췆싛3ꆡ죧맻쯹폐춶헟뚼닉폃쿠춬뗄볲떥믬뫏닟싔:ꛋ=(ꛋ1,ꆭ,ꛋK)ꇤ,퓲뷰죚닺뗄볛룱뫣뗈폚쿠펦뗄춶뇈샽,벴kpt=ꛋk,k=1,ꆭ,K;죧맻쫐뎡훐폐튻룶닟싔쫇ꛋ3,벴춶뇈샽뗈폚쿠뛔막쾢뗄욽뻹횵:ꛋ31=ꮅd1,ꆭ,ꛋ3K=ꮅdK,퓲퓚뻹뫢쳵볾쿂,횻튪쇭췢뗄닟싔쫇볲떥믬뫏닟싔,뷰죚닺뗄볛룱뗈폚쿠뛔막쾢뗄욽뻹횵k,벴폐pt=ꮅdK=Ek(d)t,k=1,ꆭ,Kꆣ췆싛훐쯹폐춶헟닉폃쿠춬뗄춶닟싔,쪵볊짏뻍쫇쫐뎡짏횻폐튻룶닟싔,벴룃닟싔뿘훆뗄닆뢻뇈샽뗈폚1ꆣ평폚헢훖벫뛋닟싔캩튻뗘뻶뚨쇋룷닺뗄볛룱,쯹틔늻춬뗄벫뛋닟싔뻍믡탎돉탭뛠늻춬뗄볛캻,냼삨룷훖볛룱얤쟺ꆣ쪵볊짏,횻튪쒳룶닟싔뿘훆뗄닆뢻뇈샽뫜듳(뷓뷼1),튲믡닺짺샠쯆뗄쿖쿳ꆣ틲듋,룃췆싛듓샭싛짏쮵쏷쇋캪쪲쎴듳뗄믺릹춶헟뿉틔닙ퟝ쒳횻막욱뗄볛룱ퟟ쫆,춬쪱,룃샭싛튲쮵쏷쇋ꆰ퓫짹ꆱ붻틗헟폐뿉쓜뇈ꆰ샭탔춶헟ꆱ퓚쒳룶뛌쪱웚쓚믱뗃룼뛠뗄샻죳ꆣ떫쫇,횻튪헢훖벫뛋닟싔늻쫇놾컄훐뗄ꛋ3,벴룹뻝쿠뛔막쾢럖엤춶뇈샽,쓇쎴쯼뻍쫇뷸뮯늻컈뚨뗄,뻍믡놻쟖죫ꆣ죧맻헢룶쟖죫캪ꛋ3,쓇쎴,룹뻝뚨샭4,늻맜쟖죫ꛋ3뿘훆뗄돵쪼닆뢻뇈샽뛠쎴킡,쯼ퟜ쫇믡평킡떽듳,ퟮ훕쟷쿲폚1ꆣ틲듋,뇤틬믲뷰죚뒴탂쫇폐킧쫐뎡탎돉뗄풭뚯솦,죧맻쎻폐뇤틬,죎뫎벫뛋닟싔붫쪼훕듦퓚,듓뛸늻뿉쓜탎돉폐킧쫐뎡,뷰죚닺뿉탎돉룷훖뿉쓜뗄얤쟺볛룱ꆣퟜ횮,듓뎤풶살뾴,틔욽뻹막쾢ퟷ캪ퟷ캪춶뇈샽뗄샭탔춶헟쫇늻뿉햽쪤뗄,퓚튻냣뻹뫢쳵볾쿂,뷰죚닺뗄쿠뛔볛룱뗈폚쿠뛔막쾢뗄욽뻹횵ꆣ쯄ꆢퟜ뷡폫뷸튻늽퇐뺿붨틩놾컄퓋폃듯뛻컄짺컯뷸뮯싛쮼쿫퇐뺿솬탸붻틗뷰죚쫐뎡뗄닆뢻엤훃뚯첬뇤뮯벰튻냣뻹뫢맦46' 1994-2009 China Academic Journal Electronic Publishing House. All rights reserved.
2006쓪뗚5웚싉,ퟷ캪쯦믺쒣탍뗄캩튻쯦믺탅쾢풴쫇뷰죚닺뗄쿠뛔막쾢ꆣ늻춬폚튻냣뗄뷰죚쒣탍,놾컄뗄뷰죚닺볛룱쫇쓚짺뻶뚨뗄,춶헟뗄뻶닟놾짭믡펰쿬떽볛룱뗄뇤뮯ꆣ춬쪱,놾컄늻쫇쳖싛떥룶춶헟죧뫎춶뻶닟,뛸쫇붫춶헟룹뻝뻶닟럖샠,춬튻샠춶헟닉폃쿠춬뗄뻶닟믲닟싔,닟싔뗄벨킧틔웤뿘훆뗄닆뢻뗄퓶복살뿌뮭ꆣ놾컄뗄뒴탂뇭쿖퓚:붨솢쇋폫EvstigineevHensandSchenk2Hoppꢦ(2006)샫즢쒣탍뛔펦뗄솬탸붻틗닺엤훃뚯첬쒣탍,뗃떽쇋EvstigineevHensandSchenk2Hoppꢦ(2006)쿠펦뗄뷡싛ꆣ돽듋횮췢,놾컄듓샭싛짏싛횤쇋뷰죚닺ꆰ펮샻ꆱ뗄돤튪쳵볾쫇룃닺쿠뛔막쾢듳폚쿠뛔막볛ꆣ쳘뇰쫇,늻춬폚EvstigineevHensandSchenk2Hoppꢦ(2006)뗃떽뗄뻖늿붥뷼뷸뮯컈뚨닟싔,놾컄뗃떽쇋뇈웤틢틥짮풶뗃뛠뗄좫뻖붥뷼뷸뮯컈뚨닟싔ꆣ헢킩뷡싛럡뢻쇋Alchian(1950)ꆢFriedman(1953)ꆢFama(1965)뗈뗄ꆰ쫐뎡믲ퟔ좻톡퓱떼훂폐킧쫐뎡ꆱ뗄훸쏻닂쿫,늢뛔헢튻닂쿫쳡릩쇋퇏룱뗄샭싛틀뻝ꆣퟮ뫳횸돶,떱잰뷰죚컄쿗싛쫶떥룶춶헟뗄ퟮ폅뻶닟컊쳢ퟮ캪뎣볻,샽죧Merton(1990),YangandMa(2001),퇮헐뻼(2005)ꆣ떫쫇떥룶춶헟뿘훆뗄뷰캢늻ퟣ뗀,쯻쏇뗄죎뫎붻틗뛔뷰죚닺뗄볛룱펰쿬뿉틔뫶싔늻볆ꆣ쯹틔,놾컄뗄뷡싛뛔떥룶춶헟뻶닟뗄횸떼틢틥늻듳ꆣ폫듋늻춬,믺릹춶헟뿘훆ퟅ뻞듳뗄뷰,쯻쏇뗄붻틗뛔막욱볛룱뗄뇤뮯뿉쓜닺짺뫜듳뗄펰쿬,쯹폐죏캪볛룱폫뻶닟컞맘뗄뷰죚쒣탍뚼쫇잷췗뗄,뇘탫쿳놾컄튻퇹붫볛룱뾴돉쫇쒣탍쓚짺뗄뇤솿ꆣ틲듋,놾컄뷡싛뛔믺릹춶헟폐ퟅ횱뷓뗄횸떼틢틥ꆣ뢽슼뚨샭1뗄횤쏷ꆡ뻘헳Id-(1-cꚤt)ꚨꚫt룷쇐뗄뫍뫣뗈폚cꚤtꆣ듓뛸퓋폃쿟탔듺쫽뗄Grammer램퓲,늢힢틢떽I=2,룹뻝(10)쪽뗃떽11zꚤ(ꚤtct-1)a1,21+(cꚤt-1)a1,1zꚤt221zꚤ(t1+(cꚤt-1)a2cꚤt-1),2ꆡ2a2,1zꚤtrt+ꚤt=r11t+ꚤt=11(cꚤt-1)a2),11+(cꚤt-1a2(,2cꚤt-1)a2,11+(cꚤt-1)a2,2폚쫇샻폃(11)쪽뗄1zꚤt+2zꚤt=1,(12)쪽뗃횤ꆣ쿂횤(13)쪽,평(12)쪽,쿔좻폐1a1,2ꚤlimtꇺrt+ꚤt=0+a1,2+a2,1힢틢떽Kꛋ1Kkꛋ2ka1,2=ꇆk=ꛋ1ꛋ1kꛋ2kꛋ1ꇤrt,a2,1=ꇆ1krtk=1ꇤ(1-r)tkrt컒쏇뗃떽Ka1,2a1,2+a2,1=ꇆꛋ1kꛋ2kꛋꇤ=1rk=1ktrt듓뛸(13)쪽뗃횤ꆣ뚨샭2뗄횤쏷ꆡ평(12)쪽,샻폃LꆯHopital뚨샭,솢벴뗃떽111rt+ꚤ1t-rtcz0-crtꚤlimtꇺ0ꚤ=ta1,2+a2,1룹뻝(11)쪽잰쏦뗄zꚤ)t뗄뚨틥벰뚨샭1뗄횤쏷(14쪽뗃횤ꆣퟮ뫳,힢틢떽1tt+2rt=1,(15)쪽쿔좻돉솢ꆣ뚨샭3뗄횤쏷ꆡ죴(14)쪽ꆢ(15)쪽뗄뷢듦퓚,퓲(16)쪽ꆢ(17)쪽쿔좻돉솢,폖평폚(14)쪽ꆢ(15)쪽뗄샠쯆탔,쯹틔횻횤(15)쪽듦퓚캩튻뷢ꆣ캪듋,뚨틥몯쫽kKdꛋ2tk-1k=1ꛋ1+ꛋ2Xk(1-X)kXf()ꇔꇆcꇆKꛋ1kꛋ2X()kk=1ꛋ1k(1-X)+ꛋ2kX47' 1994-2009 China Academic Journal Electronic Publishing House. All rights reserved.
퇮헐뻼ꆢ쟘맺컄:솬탸뷸뮯뷰죚쒣탍폫좫뻖붥뷸뮯컈뚨닟싔폚쫇쯦믺캢럖랽돌(15)쪽뿉틔뇭쪾캪dX=f(X),X0=2rd0ꇊ[0,1]()tꆡꆡ늻쓑뾴돶,몯쫽f(ꆤ)퓚쟸볤[0,1]짏솬탸뿉캢,뛸쟒f(0)=f(1)=0,쯹틔뛔쎿룶ꛘꇊꚸ벰쎿룶돵횵2r0ꇊ[0,1],쯦믺캢럖랽돌(A12)뗄쿠뿕볤쫇쟸볤[0,1]뗄ퟓ뿕볤ꆣ쯹틔,룹뻝Soong(1973)뗄뚨샭51112,횻탨횤쏷몯쫽f:ꚮꇺL2싺ퟣ죧쿂뻹랽Lipschitz쳵볾:ꆬf(X)-f(Y)ꆬꇜꛁꆬX-Yꆬ,ꛁ>0()ꆡꆡ헢샯ꚮ폫L2럖뇰뇭쪾좡횵폚[0,1]뗄쯦믺뇤솿벯뫏폫뻟폐랶쫽ꆬXꆬꇔ(E[X21Π2])뗄L2뿕볤,닎볻Soong(1973)ꆣ쫂쪵짏,틲캪뛔죎뫎X,Yꇊꚮ,0<min(ꛋ1k,ꛋ2k)ꇜꛋ1k(1-X)+ꛋ2kXꇜmax(ꛋ1k,ꛋ2k),k=1,ꆭ,K()틔벰0<min(ꛋ1k,ꛋ2k)ꇜꛋ1kꛋ2kꛋ1k(1-X)+ꛋ2ꇜmax(ꛋ1Xk,ꛋ2k),k=1,ꆭ,K()k쯹틔kdꛋ2kꛋ2tktkꛋ1ꇜꇆKk=1k(1-X)+ꛋ2-1kXꇆKdk=1ꛋ1k(1-Y)+ꛋ2-1kY|f(X)-f(Y)|cX-ꇆ1Kꛋkꛋ2kk=1ꛋ12k(1-X)+ꛋꇆKꛋ1kꛋ2kk=1kXꛋ1k(1-Y)+ꛋ2kYꇆkKdꛋ2tkk=1ꛋ1-1k(1-Y)+ꛋ2kY+c(X-ꇆKꛋ1kꛋ2Y)kꛋ1k=1k(1-Y)+ꛋ2kY()뚨틥ꛋmꇔmin{ꛋ1k,ꛋ2k|k=1,ꆭ,K},ꛋMꇔmax{ꛋ1k,ꛋ2k|k=1,ꆭ,K}()퓲룹뻝(1)쪽뗃떽0<ꛋmꇜꛋM<1폚쫇,뺭맽뾺뎤뗄볆쯣,평(A16)쪽뗃떽|f(X)-f(Y)|ꇜ2cꛋmꛋM+cꛋ2MKꛋ4|X-Y|m틲듋,좡ꛁ2cꛋ=mꛋM+cꛋ2MKꛋ4m퓲평랶쫽뗄탔훊(A13)쪽돉솢ꆣ틽샭1뗄횤쏷ꆡ쿔좻횻튪횤:뛔죎뫎쿲솿ꛋ2ꇙꛋ3틔벰쎿룶xꇊ(0,1),뫣폐Kꮅdkꛋ2kH(ꛋ3,ꛋ2,x)ꇔꇆ-1<0k=1ꮅdk(1-x)+ꛋ2kx캪듋,뾼싇죧쿂럇쿟탔맦뮮컊쳢maxH3(ꛋ,ꛋ2,x)ꛋ22,ꆭ,ꛋ1K().ꆡꆡꇆKꛋ2k=1k=10<ꛋ2k<1,k=1,ꆭ,Kꆡꆡ늻쓑횤쏷,룃뛠풪맦뮮컊쳢뗄쒿뇪몯쫽쫇뻶닟뇤솿뗄퇏룱낼몯쫽,풼쫸쳵볾쫇뻶닟뇤솿뗄춹몯쫽,쯹틔럇쿟탔맦뮮컊쳢(A18)쪽폐캩튻뗄좫뻖ퟮ폅뷢,컒쏇붫횤쏷,헢룶좫뻖ퟮ폅뷢뻍쫇ꛋ2=ꛋ3ꆣ죝틗쯣돶,쿠펦뗄ퟮ폅쒿뇪몯쫽횵H(ꛋ3ꛋ3,,x)=0ꆣ듓뛸,뛔죎뫎쿲솿ꛋ2ꇙꛋ3틔벰쎿룶xꇊ(0,1),뫣폐H(ꛋ3,ꛋ2,x)<H(ꛋ3ꛋ3,,x)=0ꆣ맊틔쿂횻튪횤(A18)쪽폐캩튻뗄좫뻖ퟮ폅뷢ꆣ캪듋,뚨틥삭룱샊죕몯쫽KL(ꛋ2,ꛌ)ꇔH(ꛋ3,ꛋ2,x)-ꛌꇆꛋ2k-1k=148' 1994-2009 China Academic Journal Electronic Publishing House. All rights reserved.
2006쓪뗚5웚폚쫇2d9Lk(1-x)(ꛋ2,ꛌꮅ)9ꛋ=-ꛌ=0k[ꮅdk(1-x)+ꛋ22kx]힢틢떽쿔좻폐ꛌ>0,듓뛸뗃떽ꮅꛌdk=ꮅdk(1-x)+ꛋ2x,k=1,ꆭ,K()1k-x솽뇟맘폚k쟳뫍뗃떽ꛌ=1-x()붫(A110)쪽듺죫(A19)쪽솢벴뗃떽ꛋ2k=ꮅdk,k=1,ꆭ,K벴ꛋ2=ꛋ3ꆣ죝틗퇩횤ꛋ2=ꛋ3싺ퟣ(A18)쪽뗄풼쫸쳵볾ꆣ훁듋,틽샭1뗃횤ꆣ뚨샭4뗄횤쏷ꆡ룹뻝뚨샭뗄볙짨,평(19)쪽뗃떽29(Er)t=E[G(ꛋ3,ꛋ22,r)9t]t평폚돵횵쳵볾0<2rt<1,맊샻폃췆싛2벰틽샭1,늢힢틢떽몯쫽G(ꛋ3ꛋ2,,x)뗄솬탸탔,폐9E2(r)t=E2[G(ꛋ3,ꛋ2,r)9t]<0t쯹틔E2(r)t쫇떥뗷복짙뗄,뛸쟒쿔좻폐E2(r)t>0,듓뛸limtꇺꇞE2(r)t=0ꆣ춬쪱평췆싛2횪2rt>0뫣돉솢ꆣ쯹틔2limt=0(ꇺꇞrs.)ퟮ뫳,힢틢떽1rt+2rtꇔ1,폚쫇솢벴뗃떽1limtꇺꇞrt=1(.)뚨샭횤뇏ꆣ닎뾼컄쿗퇮헐뻼,2005ꆶ:늿럖탅쾢쿂벫듳뮯훕횹쪱뿌웚췻킧폃ꆷꆶ,뿘훆샭싛폫펦폃ꆷ,22(5),708ꆪ712ꆣAlchian,A.,1950,ꆰUncertainty,EvolutionandEconomicTheoryꆱ,JournalofPoliticalEconomy,58,211ꆪ,M.,1953,EssaysinPositiveEconomics,UniversityofChicagoPress,,E.,1965,ꆰTheBehaviorofStockMarketPricesꆱ,JournalofBusiness,38(1),34ꆪ,R.,1981,ꆰDoStockPricesMovetooMuchtoBeJustifiedbySubsequentChangesinDividends?ꆱAmericanEconomicReview,71,421ꆪ,.,,ꢦ,2006ꆰ,EvolutionaryStableStockMarketsꆱ,EconomicTheory,27,449ꆪ.,T,Hens,ꢦ,2005ꆰ,GloballyEvolutionarilyStablePortfolioRulesꆱ,WorkingPaper,http:ΠΠ,.,1973,RandomDifferentialEquationsinScienceandEngineering,AcademicPress,Inc.,,R.,1990,ContinuousTimeFinance,Blackwell,,.,Ma,.,2001,ꆰOptimalTradingStrategywithPartialInformationandtheValueofInformation:TheSimplifiedandGeneralizedModelsꆱ,InternationalJournalofTheoreticalandAppliedFinance,4(5),759ꆪ772.(쿂뗚61튳)49' 1994-2009 China Academic Journal Electronic Publishing House. All rights reserved.
2006쓪뗚5웚NirBecker,1995,ꆰValueofMovingfromCentralPlanningtoaMarketSystem:LessonsfromtheIsraeliWaterSectorꆱ,AgriculturalEconomics,,1998,ꆰFinancialDependenceandGrowthꆱ,AmericanEconomicReview,,1975ꆰ,TheSocialCostsofMonopolyandRegulationꆱ,JournalofPoliticalEconomy,,.,1998,ꆰEarningManagementandtheLong2runMarketPerformanceofInitialPublicOfferingsꆱ,JournalofFinance,(AccountingDepartment,ManagementSchool,FudanUniversity)Abstract:Sincethereformandopening2up,Chinaꆯ,(2000):Marketization;CapitalAllocationEfficiency;TransitionalEconomyJELClassification:L330,P200(퓰죎뇠벭:쯉ꆡ쒾)(킣뛔:ퟓꆡ)(짏뷓뗚49튳)ContinuousTimeEvolutionaryFinancialModelandGloballyAsymptoticallyEvolutionaryStableStrategiesYangZhaojun(SchoolofEconomicsandTrade,HuꆯnanUniversity)QinGuowen(HuꆯnanAcademyofSocialSciences;SchoolofEconomicsandTrade,HuꆯnanUniversity)Abstract:,,(1950),Friedman(1953)andFama(1965):EvolutionaryFinance;MarketSelection;GloballyAsymptoticallyEvolutionaryStableStrategies;FinancialInnovation;AssetPricingJELClassification:G11,D52,D81(퓰죎뇠벭:쳆쫙쓾)(킣뛔:ퟓꆡ)61' 1994-2009 China Academic Journal Electronic Publishing House. All rights reserved.
