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中文摘要：
考察在单期投资下，以投资者期末变现后财富效用最大化为目标，将流动性作为变现成本引入效用函数模型中将投资管理的视角从二维空间拓展至三维空间。研究结果表明：①期末期望财富效用是非流动性及非流动性方差的减函数；②考虑流动性并不一定降低投资者的期末期望财富效用。
英文摘要：
Considering one-period investment and taking the maximization of expected utility of end wealth as objective, this paper introduces the liquidity as executing cost into the utility function model thus extends the investment perspective to the three dimension space from the two dimension space. The research results show that： firstly, the expected utility of end wealth is a decreasing function of illiquidity and variance of illiquidity; secondly, introduction of liquidity may not reduce the expected utility of end-period wealth.
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