单期和多期条件下的资产定价模型研究

发布时间：2018-03-14 22:28

本文选题：偏好关系　切入点：单期　出处：《宁夏大学》2013年硕士论文　论文类型：学位论文

【摘要】：由于资产市场投资的科学化,现代金融市场理论越来越受到很多专家学者的关注.本文主要研究了单期和多期条件下的资产定价模型.第一,介绍了资产定价理论的发展历程和原始的定价模型、资本资产定价理论的应用,并结合中国证券市场阐述了资本资产定价理论在实践中的应用.第二,介绍了经济学和金融学中资产的概念、不确定环境中的偏好关系、期望效用函数、经典的资产定价原理及有关金融市场均衡的一些基本理论.第三,在静态市场模型的基础上,引入不确定性,结合无套利均衡,得出并证明了单期资产定价基本定理.第四,在离散和连续情形下分别建立多期模型框架,然后应用无套利定价原理得出并证明了多期资产定价基本定理.通过实例分析,得出决定价格的因素仅仅是无套利的均衡价格测度,与个人的偏好无关.
[Abstract]:Because of the scientific investment of asset market, the modern financial market theory has been paid more and more attention by many experts and scholars. This paper mainly studies the asset pricing model under the condition of single and multi-period. This paper introduces the development of asset pricing theory, the original pricing model, the application of capital asset pricing theory, and expounds the application of capital asset pricing theory in practice. This paper introduces the concept of assets in economics and finance, the preference relation in uncertain environment, the expected utility function, the classical asset pricing principle and some basic theories about financial market equilibrium. Thirdly, on the basis of static market model, By introducing uncertainty and combining with no-arbitrage equilibrium, the basic theorem of single-period asset pricing is obtained and proved. 4th. In discrete and continuous cases, the multi-period model framework is established separately. Then the basic theorem of multi-period asset pricing is obtained and proved by applying the principle of no-arbitrage pricing. Through the analysis of examples, it is concluded that the determinant of price is only the equilibrium price measure without arbitrage, which is independent of individual preference.
【学位授予单位】：宁夏大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F830.91;F224

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