Considering oneperiod 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 endperiod wealth.
姚亚伟, 杨朝军, 黄峰. 引入流动性一定降低期末财富效用吗?——基于理论视角的探讨[J]. J4, 2009, 6(11): 1522-.
YAO Ya-Wei, YANG Chao-Jun, HUANG Feng. Will Introduction of Liquidity Reduce the Utility of Wealth?——Analysis from Theory Perspective. J4, 2009, 6(11): 1522-.