论文标题
市场不完整的成本效益
Cost-efficiency in Incomplete Markets
论文作者
论文摘要
本文研究了不完整的市场成本效率的话题。如果以最低初始预算在某些给定的投资范围内实现给定的概率分配，则收益称为成本效益。对于完整的金融市场而言，存在广泛的文献。我们展示了如何将问题扩展到不完整的市场以及整个市场理论的主要结果如何仍然以适应的形式持有。特别是，我们发现，在不完整的市场中，最佳的投资组合选择是不充分喜欢多元化的偏好（本文介绍的一个概念）必须是“完全”的成本效益。这种完美的成本效率的概念表明与可以合理化的回报，即，它是解决预期效用问题的解决方案。
This paper studies the topic of cost-efficiency in incomplete markets. A payoff is called cost-efficient if it achieves a given probability distribution at some given investment horizon with a minimum initial budget. Extensive literature exists for the case of a complete financial market. We show how the problem can be extended to incomplete markets and how the main results from the theory of complete markets still hold in adapted form. In particular, we find that in incomplete markets, the optimal portfolio choice for non-decreasing preferences that are diversification-loving (a notion introduced in this paper) must be "perfectly" cost-efficient. This notion of perfect cost-efficiency is shown to be equivalent to the fact that the payoff can be rationalized, i.e., it is the solution to an expected utility problem.
