存在利率和交易费用的单方向局内外汇兑换问题的竞争分析  

Competitive Analysis of One-way Trading with Interest and Transaction Cost

作　　者：朱志军[1] 徐寅峰[1] 姜锦虎[1] 

机构地区：[1]西安交通大学管理学院,陕西西安710049

出　　处：《预测》2003年第4期51-55,共5页Forecasting

基　　金：国家自然科学基金委员会优秀创新群体资助项目(70121001);国家自然科学基金资助项目(70028102)

摘　　要：外汇兑换是现实中的一个典型局内决策问题。在El Yaniv等人研究的基础上,考虑到现实的实际情况,本文将利率和交易费用引入到该问题当中,扩展了El Yaniv提出的基于风险的兑换策略(Threat basedPolicy),使得运用该兑换策略,无论汇率在[m,M]中如何变动,局内人得到的收益总是在对应局外问题最优收益一定比例r之内。Foreign currency trading is a typical online decision problem in our real life. Based on the research results of ElYaniv, Threatbased Policy is extended by introducing market interest and commission cost. No matter what is the trading ratio between m and M, the online player is promised to get a return about certain proportion r to the offline optimal return by committing the trading policy proposed in the paper.

关 键 词：单方向外汇兑换 局内算法 竞争分析 

分 类 号：F830.73[经济管理—金融学]