本文選題：偏好關(guān)系　切入點(diǎn)：單期　出處：《寧夏大學(xué)》2013年碩士論文　論文類(lèi)型：學(xué)位論文

【摘要】：由于資產(chǎn)市場(chǎng)投資的科學(xué)化,現(xiàn)代金融市場(chǎng)理論越來(lái)越受到很多專(zhuān)家學(xué)者的關(guān)注.本文主要研究了單期和多期條件下的資產(chǎn)定價(jià)模型.第一,介紹了資產(chǎn)定價(jià)理論的發(fā)展歷程和原始的定價(jià)模型、資本資產(chǎn)定價(jià)理論的應(yīng)用,并結(jié)合中國(guó)證券市場(chǎng)闡述了資本資產(chǎn)定價(jià)理論在實(shí)踐中的應(yīng)用.第二,介紹了經(jīng)濟(jì)學(xué)和金融學(xué)中資產(chǎn)的概念、不確定環(huán)境中的偏好關(guān)系、期望效用函數(shù)、經(jīng)典的資產(chǎn)定價(jià)原理及有關(guān)金融市場(chǎng)均衡的一些基本理論.第三,在靜態(tài)市場(chǎng)模型的基礎(chǔ)上,引入不確定性,結(jié)合無(wú)套利均衡,得出并證明了單期資產(chǎn)定價(jià)基本定理.第四,在離散和連續(xù)情形下分別建立多期模型框架,然后應(yīng)用無(wú)套利定價(jià)原理得出并證明了多期資產(chǎn)定價(jià)基本定理.通過(guò)實(shí)例分析,得出決定價(jià)格的因素僅僅是無(wú)套利的均衡價(jià)格測(cè)度,與個(gè)人的偏好無(wú)關(guān).
[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.
【學(xué)位授予單位】：寧夏大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類(lèi)號(hào)】：F830.91;F224

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本文編號(hào)：1613233