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中文摘要：
讨论了有交易费用的、包括偏度和峰度在内的高阶矩约束的多目标最优投资组合选择模型．将该模型转化为单目标最优化问题，利用线性逼近的方法讨论了在有交易费用时规划问题的近似转化；给出了具体算例；分析了参数对最优目标的影响．
英文摘要：
A portfolio selection model with transaction costs under the constraint of higher moments such as skewness and kurtosis was discussed. The original model was transferred to a single objective optimization model. Using linear approaching method, this model was transferred approximately to a linear programming model. A numerical example was given. Finally, the relationship between the objective and the parameters was discussed.
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strong law of large numbers and asymptotic equipartition property for nonsymmetric Markov chain fiel
Discrete time mean-variance analysis with singular second moment matrixes and an exogenous liability
The minimal entropy and the convergence of the p-optimal martingale measures in a general jump model
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