本文選題：偏好關系　切入點：單期　出處：《寧夏大學》2013年碩士論文　論文類型：學位論文

【摘要】：由于資產(chǎn)市場投資的科學化,現(xiàn)代金融市場理論越來越受到很多專家學者的關注.本文主要研究了單期和多期條件下的資產(chǎn)定價模型.第一,介紹了資產(chǎn)定價理論的發(fā)展歷程和原始的定價模型、資本資產(chǎn)定價理論的應用,并結合中國證券市場闡述了資本資產(chǎn)定價理論在實踐中的應用.第二,介紹了經(jīng)濟學和金融學中資產(chǎn)的概念、不確定環(huán)境中的偏好關系、期望效用函數(shù)、經(jīng)典的資產(chǎn)定價原理及有關金融市場均衡的一些基本理論.第三,在靜態(tài)市場模型的基礎上,引入不確定性,結合無套利均衡,得出并證明了單期資產(chǎn)定價基本定理.第四,在離散和連續(xù)情形下分別建立多期模型框架,然后應用無套利定價原理得出并證明了多期資產(chǎn)定價基本定理.通過實例分析,得出決定價格的因素僅僅是無套利的均衡價格測度,與個人的偏好無關.
[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.
【學位授予單位】：寧夏大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F830.91;F224

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本文編號：1613233