考虑连续时间金融市场的最优资产组合选择问题。在Black-Scholes 金融市场设置下，利用Roy提出的安全第一（Safety First）准则，导出了最优常数再调整资产组合投资策略的显式表达式。还将文中的结果与Markowitz均值-方差模型的最优资产组合投资策略进行了比较，并给出概念与结论的一些经济学解释和应用。

主要对一般情形、含无风险资产和含外生负债三种情况下的TSF模型用直观解法求解，并对其最优解、可行解的存在性条件进行详细讨论，另外还提出一些值得进一步研究的问题。

In this paper we study the optimal portfolio selection problem for assets. A doubleobjective programming model is Wrst formulated for selecting optimal portfolios of asserts with transaction costs and taxes, where short sales and borrowings are not allowed. Some properties of eYcient portfolios and the eYcient frontier to the model are then derived. Based on these results, an interactive method that requires only paired preference comparison from the investor is established for solving the optimal portfolio selection problem. A numerical example is also presented to illustrate this method.

本文用无套利方法分析有摩擦金融市场中利率的期限结构。对存在有限个债券和离散有限个到期日以及存在成比例的交易费、买卖差价、税赋这三种摩擦的金融市场。引入了相容期限结构的概念，给出了相容期限结构和套利机会的存在性结果或充要条件及它们的识别与计算方法。

We are interested in computation of locating arbitrage in-nancial markets with frictions. We consider a model with a nitenumber of nancial assets and a nitenumber of possible states of nature. We derive a negative result on computational complexity of arbitrage in the case when securities are traded in integer numbers of shares and with a maximum amount of shares that can be bought for a xed price (asin reality). When these conditions are relaxed, we show that polynomial time algorithms can be obtained by applying linear programming tech-niques. We also establish the equivalence for no-arbitrage condition & optimal consumption portfolio.