投资市场的若干极限性质硕士论文.pdfVIP

℄ Æ Ln−  ∗ −mixing [8] ℄ Ln− ℄ Ln− Æ  Ln− Ln− ℄ ∗ Ln− − mixing i SOME LIMIT PROPERTIES OF INVESTMENT MARKET ABSTRACT In the first part of this paper,we study the limit properties of Ln−optimal portfolio in stock market in the absence of the conditions of risk control.We prove the strong law of larger numbers and small deviation theorem for general market. Then,we get a limit theorem on the ∗ − mixing market.This theorem also promotes the results of the reference[8]. In the latter part of this paper, we study the limit theorem on the stationary market under the conditions of risk control. This paper includes five chapters. In the first chapter,the relative background of Ln−optimal portfolio is given. The second one introduces some basic concepts of Ln−optimal portfolio theory. In the third chapter,we study the limit theory and the small deviation theorem about Ln−optimal portfolio in the absence of the conditions of risk concrol. In the fourth chapter, limit theory about Ln−optimal portfolio under the risk control is given. In the last chapter, the main results are given. KEY WORDS: Ln−optimal portfolio, double rate function, martingale, ∗ − mixing sequences of random variables , risk control, limit theorem ii 原创性声明 本人郑重声明所呈交的学位论文，是本人在导师指导下，进行研究【‘作所取得的成 果。除文中已经注明引用的内容外，本学位论文的研究成果不包含任何他人创作的、已公开 发表或者没有公开发表的作品的内容对本论文所涉及的研究工作做』“贡献的其他个人和集 体，均已在文中以明确方式标明。本学位论文原创性声明的法律责任巾本人艰担 学位论文作者签名：考定宏卫 日期； 3力7-／土-二