存在交易费用条件下的资金流向

设投资者面临着两种投资选择，一是把钱存入银行，另一种是购买股票（假设金融市场只有一种股票）．在金融市场交易中必须支付相应比例的费用，在此条件下，讨论投资者初始资金（ｕ０，ｖ０）在交易中的变化情况，并指出存在买卖交易费用不同的条件下，通过交易资金的流向是单一的，即不可逆，应用Ｇｉｒｓａｎｏｖ变换讨论了资金状态在边界上的可行策略．

The Direction of Capital Flow Where Transaction Costs Are Required

Suppose that an invester is faced with two alternatives for his personal investment: one is to deposit his money in bank or to pay a fixed interest for his loan from bank, and the other is to buy stocks, assuming that there is only one kind of stocks available on the money market. Naturally, relevant costs must be paid during the transactions in the market. The initial capital ( u,v ) of the invester and its variationin the transactions are discussed. It is pointed out that if the transaction costs for buying and selling are different, the capital flow would be unidirectional, or it is irreversible. The feasible strategy for the capital state at the boundary is discussed using Girsanov transformation.