高級(jí)微觀經(jīng)濟(jì)學(xué)timeandassetsmarket(參考版)
2024-09-02 09:06本頁(yè)面
【正文】 ijE f f i j? ? ?0 0 1 1 1( 1 ) ( 1 ) ( ( 1 ) )a b a b a bx R x R x b x b x b x b f? ? ? ? ? ? ? ?Asset market ? APT: Arbitrage pricing theory – One factor: ? If this portfolio is riskyfree, means ? And , ? We have or ? So ? Finally we got: 11(1 ) 0abx b x b? ? ?111bbabxbb? ??0 0 0(1 )abx b x b R??? ? ?0 0 0 01 1 1b b ab b ab R b bb b b????0 0 0 01 1 1a a ba a bb R b bb b b????0011aabRb ?? ?0 0 1 1a a aR b R b ?? ? ?Asset market ? APT: Arbitrage pricing theory – Two factor: – Construct a riskyfree portfolio – The matrix must be singular – So 0 1 1 2 2a a a aR b b f b f? ? ?( , , )a b cx x x0 0 0 0 0 01 1 12 2 2000a b c aa b c ba b c cb R b R b R xb b b xb b b x? ? ?? ? ? ? ? ?? ? ? ? ? ??? ? ? ? ? ?? ? ? ? ? ?? ? ? ? ? ?33()ijb ?0 1 1 2 2a a aR R b b??? ? ?Asset market ? Expect utility: – We have got: – Rubinstein(1976) – For individual i , 01 c ov ( , ( ) )()aaR R R u cEu c ??? ?c o v ( , ( ) ) ( ) c o v ( , )aaR u c E u c R c? ???( ) / ( )i i i i ir Eu c Eu c?? ???01( ) c o v ( , )a a iiR R R cr??10011( ) c o v ( , ) [ ] c o v ( , )a a a aiiiiR R R C R R R Crr ?? ? ? ? ???Asset market ? Expect utili
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