指令配置:微观结构与资产配置的统一框架

发布时间：2019-02-26 13:45

【摘要】：本文将资产配置的方法推广到限价指令簿市场上.在投资者效用函数符合指数效用的假设下,考虑了限价指令簿中委托的执行概率,将限价指令簿的边际订单递交纳入到资产配置的框架中.首先,推导出投资者在限价指令市场上对市价委托指令和限价委托指令配置的解析式,从而将资产定价模型与限价指令簿的微观结构理论模型统一到一个模型中.其次,还证明了传统的单资产CAPM是本文模型在只能递交边际市价委托时的一个特例.
[Abstract]:In this paper, the asset allocation method is extended to the limited price instruction book market. Under the assumption that the utility function of the investor conforms to the exponential utility, the execution probability of the delegate in the limited price instruction book is considered, and the marginal order submission of the price limit instruction book is included in the framework of asset allocation. Firstly, we derive the analytic formula of the allocation of the market price entrustment orders and the limited price entrustment orders in the price-limited order market, thus unifying the asset pricing model and the microstructure theory model of the price-limited instruction book into a single model. Secondly, it is proved that the traditional single-asset CAPM is a special case of this model when it can only submit marginal market value entrusts.
【作者单位】：厦门大学经济学院金融系;
【基金】：国家自然科学基金资助项目(70971114) 国家青年科学基金资助项目(71101121) 福建省自然科学基金资助项目(2009J01316)
【分类号】：F224;F830.9

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