基于風(fēng)險(xiǎn)基金的capm模型介紹-資料下載頁(yè)
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【正文】 的現(xiàn)代資產(chǎn)定價(jià)理論。參考文獻(xiàn)徐緒松，2003：《復(fù)雜科學(xué)資本市場(chǎng)項(xiàng)目評(píng)價(jià)》，科學(xué)出版社。陳彥斌，2003：《基于財(cái)富偏好和習(xí)慣形成的資本資產(chǎn)定價(jià)模型》，武漢大學(xué)商學(xué)院博士學(xué)位論文。陳彥斌，肖爭(zhēng)艷，鄒恒甫，2003：《財(cái)富偏好、習(xí)慣形成和消費(fèi)與財(cái)富的波動(dòng)率》，《經(jīng)濟(jì)學(xué)（季刊）》第3卷第1期。Bakshi, G., and Chen Z., 1996, “The Spirit of Capitalism and Stock Market Prices”, Americal Economic Review, vol. 86, 133157.Breeden, D. T., 1979, “An Intertemporal Asset Pricing Model with Stochastic Consumption and Investment Opportunities”, Journal of Financial Economics, 7,p 265–296.Cass, D., and Stiglitz, J. E., 1970, “The Structure of Investor Preferences and Asset Returns, and Separability in Portfolio Allocation: A Contribution to the Pure Theory of Mutual Funds”, Journal of Economic Theory, 2, p122160.Constantinides, G. M., 1990, “Habit Formation: A Resolution of the Equity Premium Puzzle”, Journal of Political Economy, vol. 98, 519543.Huang, C, and Litzenberger R H., 1988, “Foundations for financial economics”, New York: NorthHolld.Ljungqvist, L., and Sargent ,T., 2000, Recursive Macroeconomic Theory, MIT Press.Merton, R. C., 1969, “Lifetime Portfolio Selection under Uncertainty: The ContinuousTime Case”, Review of Economics and Statistics, 51, p247257.Merton, R. C., 1971, “Optimum Consumption and Portfolio Rules in a ContinuousTime Model”, Journal of Economic Theory, 3, p373413.Merton, R. C., 1973, “An Intertemporal Capital Asset Pricing Model”, Econometrica, 41, p867887.Roll, R., 1977, “A Critique of the Asset Pricing Theory’s Tests Part 1: On Past and Potential Testability of the Theory”, Journal of Financial Economics, 4, p129–176.Ross, S. A., 1978, “Mutual Fund Separation in Financial Theory – the Separating Distributions”, Journal of Economic Theory, 17, p254286.The CAPM based on Risky FundChen Yanbin(School of Economics, Renmin University of China)Xu Xusong(School of Business, Wuhan University)Abstract: This paper proposes a CAPM based on risky fund, which describes the linear relation between the asset’s return and risk. In the new model，the risk is defined as the covariance of return on the asset and return on the risky fund, divided by the variance of the rerun on the risky fund. The CAPM based on risky fund is used to prove the famous CCAPM.Keywords: Two fund separation。 risky fund。 CAPM。 CCAPMJEL Classification: E21, G11, G128 /
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