奈特不确定性下的资产交易价格惰性区间

发布时间：2018-01-16 00:30

本文关键词：奈特不确定性下的资产交易价格惰性区间　出处：《系统工程》2017年04期 　论文类型：期刊论文

【摘要】：基于可行域的容度概念,引入一等级参数测度奈特不确定性程度,研究奈特不确定性规避者的资产交易价格行为。通过容度代替概率测度,基于容度期望效用模型获得奈特不确定性规避者的交易行为偏好,构建对偶测度下的资产交易价格惰性区间;以上证50期权2015年2月9日至9月23日的日收益数据为样本予以实证,并与传统Black-Scholes期权定价模型对比。结果表明,在奈特不确定性环境下,资产交易价格存在"惰性区间";该惰性区间随奈特不确定性程度的不断增强(减弱)而不断扩大(缩小),其中,惰性区间的扩大呈边际递减趋势;同时,惰性区间的扩大(缩小)导致市场流动性存在下降(上升)的趋势。研究内生解释了证券市场上的"非市场参与"之谜,外生说明了证券市场上的"有限市场参与"特征,并结合中国证券市场特征提出相关建议。
[Abstract]:Based on the concept of tolerance of feasible region, this paper introduces a rank parameter to measure the degree of Knight uncertainty, and studies the behavior of asset transaction price of Knight uncertainty evaders. Based on the capacity expected utility model, the transaction behavior preference of Knight uncertainty evaders is obtained, and the inert interval of asset transaction price under dual measure is constructed. Based on the daily earnings data of Shanghai 50 options from February 9th 2015 to September 23rd, and compared with the traditional Black-Scholes option pricing model, the results show that. Under the environment of Knight uncertainty, there is an "inert range" in asset transaction price. With the increasing (weakening) of Knight uncertainty, the inert interval is enlarged (reduced), in which the expansion of inert interval tends to decrease marginally; At the same time, the expansion (reduction) of the inert range leads to the decline (rise) of the market liquidity. The study explains the mystery of "non-market participation" in the securities market. This paper explains the characteristics of "limited market participation" in the securities market, and puts forward some suggestions based on the characteristics of China's securities market.
【作者单位】：安徽工程大学管理工程学院;
【基金】：国家自然科学基金面上项目(71271003;71171003) 教育部人文社会科学研究规划项目(12YJA790041)
【分类号】：F224;F724.5
【正文快照】： 1引言不确定性特征充满整个证券市场,从而成为投资者交易行为和资产定价等研究领域的主要内容之一。传统效用理论认为资产具有唯一执行价格,只有资产的市场价格高于该执行价格,资产才会被出售;反之,资产会被购进[1]。然而,我们经常会发现一些资产虽然其市场价格连续上升或连续

【相似文献】