高級(jí)微觀經(jīng)濟(jì)學(xué)timeandassetsmarket-資料下載頁(yè)
2024-08-29 09:06本頁(yè)面
【導(dǎo)讀】Assetmarket. periodt-1.Uccuc??Twoperiodsmodel:. Ifmeans. uc?1r???01cc???investment.–Endowmentwealthw.221101()[(1)]()cwwcRxRxwcR???????1212(,)()()UccucEuc???Twoperiodsmodel:. 11,()max()()cxVwucEuwcR????11()ttttcwwcR?????UccEuc?1111111,VwucEuwcR?122()TTTwwcR?????22(,)TTcx??22222122,VwucEVwcR?CAPM:. CAPM:. xR???1()eeAexx?20aeaR??????CAPM:. RRRR?????CAPM:. w??????RRRRRRR?????????
【正文】 t market ? Complete market: – An asset a valued Vas in state s, how much is this asset worth in period 0? – Construct a portfolio: holding Vas unit ArrowDebreu Security s, means a AD security valued $1 while the portfolio valued Vas in state s. so: 1Sa s a ssp p V?? ?Asset market ? Complete market: – Let be the probability of s – it’s the value of a portfolio that pays off $1 for certain, and R0 be the riskfree return of it. Then: 1( ) c o v ( , )Ssa a s s a a as sp p p pp V E V V E E V?? ? ? ??? ? ? ??11SSssssssppEp??? ??????s?01pER? ?Asset market ? Complete market: 0c o v ( , )aaaV ppVR ???Asset market ? Pure arbitrage: – No opportunity for pure arbitrage. – No arbitrage principle: if then – There exist price such that the value of any asset a is given by: – Let we have: 0?VX 0?pX1( , )S??1Sa s a sspV??? ?/ssZ ???0000c ov ( , ) c ov ( , )c ov ( , )aaa a aaaVVp Z V Z V R R ZppR R R Z R? ? ? ? ?? ? ?Assignment ? Textbook:。 Two period with out any uncertainty Consumption of period 0 Consumption of period 1 (1 )wr?w01( , )U c c01( ) (1 )w c r c? ? ?1c?0c?10() 1( ) 1ucs l o p eu c r? ???? ?efficient portfolio set aRa?0ReRe?
法律信息相關(guān)推薦
鄂ICP備17016276號(hào)-1