资产定价

基于流动性风险的行为资产定价模型研究

The Behavioral Asset Pricing Model based on Liquidity Risk

关于资产定价第一基本定理

On the First Fundamental Theorem of Asset Pricing

a.资本资产定价模型

A. The Capital Asset Pricing Model

并购中CAPM资本资产定价模型与研究

CAPM capital price model and its study of combination and purchase

基于Merton资产定价模型确定银行经济资本

Defining the Economic Capital of Commercial Bank based on Merton Asset Pricing Model

从CAPM模型到三因素模型，是资产定价模型的巨大飞跃。

From CAPM model to three-factor model , it is a great leap of capital pricing model .

其次探讨股票收益率采用的两个模型：传统的资本资产定价模型和多要素套利定价理论，并介绍如何计算股票的VaR；

Secondly we discuss the two models of stock returns rate , CAPM and APT , and then we introduce how to calculate VaR of stock .

自回归条件异方差（ARCH）类模型突破了传统计量经济分析的同方差假定，对现代资本资产定价理论产生了深远的影响。

Autoregressive conditional heteroscedasticity ( ARCH ) models , which broke though the assumption of constant variance of traditional econometrics , have had a profound influence to the modern capital asset pricing theory .

西方资产定价理论中的实体经济因素考察&以CAPM模型与B-S期权定价模型为例

Investigation on Factors of the Real Economy in Western Assets Pricing Models : CAPM Model and B-S Model

从Q理论我们看到了资产定价的另一条道路，即是将资产的收益率视为资产价值的增长率，从决定资产价值的因素出发，而并非从风险因素出发，来寻找解释因素。

From the Q theory , we find another path of asset pricing , starting from the asset value factors rather than starting from the risk factors to look for explanatory factors .

提出了建立CAPM模型（资产定价模型），对项目融资风险进行定量分析方法。

The article suggests the establishment of a CAPM model ( capital Asset Price Model ), and analyses the project financing risk .

因此，在上海A股市场，CAPM失去了有效性，资产定价可以由多因素模型决定。

Therefore , the paper suggests that CAPM is ineffective and the asset pricing depends on multi-factor model in Shanghai A-share market .

本文对资本市场均衡理论、资本资产定价模型（CAPM）和套利定价模型（APT）的经验检验、有效市场假设的检验进行了分析；

The article analyzes the theory of asset market equilibrium , some empirical investigation of CAPM and APT and some tests of the efficient market hyPothesis .

此后，威廉·夏普（WilliamSharpe）在马克威茨的均值-方差模型的基础上提出了著名的资本资产定价模型（CAPM）。

After that , William Sharpe put forward the famous capital assets price model ( CAPM ) based on Markowitz 's Mean - Variance model .

第四，文章对于XX银行将经济资本应用于资产定价、业务发展以及绩效考核等方面进行了探讨，并提出了一些建议。

Fourth , the article for the XX bank will apply economic capital asset pricing , business development and performance assessment and other aspects were discussed and put forward some suggestions .

经典的资产定价和投资组合构造理论，如CAPM模型和无套利资产定价模型（APT），没有考虑到投资者在不同市况中所面临风险的多态性。

The classic capital asset pricing theory and portfolio selection models such as CAPM and APT , do not allow the polymorphism of market risk which is the typical characteristics of financial market .

本文通过简单介绍Merton资产定价模型，提出基于Merton资产定价模型计算商业银行为维持某一信用等级所需要配置的经济资本的方法。

First , This paper introduced Merton Asset Pricing Model . The second , it gave a new method to calculate the economic capital based on Merton Model .

随着金融市场上各种异象的累积，有效市场假说（EMH）和资本资产定价模型（CAPM）的权威地位已开始动摇。

Along with various accumulations of anomalies in financial market , the correctness of Efficient Market Hypothesis ( EMH ) and the Capital Asset Pricing Model ( CAPM ) has been doubted .

传统金融理论建立在有效市场假说（EMH）和资本资产定价模型（CAPM）两大基石之上，其模型和范式局限在理性的分析框架中，忽视了对投资者实际决策行为的分析。

The traditional finance theory is based on EMH and CAPM , but the models and methods are confined to the frame of rationality ignoring the analysis of investor 's actual decision behaviour .

有效市场假说（EMH）是近30多年来经济学的核心命题之一，并从其引出资产定价、期权定价等重大经济理论。

Efficient Market Hypothesis ( EMH ) is the core proposition of economics in the last 30 years , and its extraction asset pricing , options pricing and other major economic theory .

资本资产定价模型（CAPM）不仅由于其简洁性和直观性，被广泛应用于风险组合绩效评估、证券定价等诸多方面；

The Capital Asset Pricing Model ( CAPM ) not only is widely used in evaluating the performance of portfolios estimating the cost of securities , and so on , because of its concision and intuitiveness ;

毋庸多说，格雷厄姆一多德都市的投资者并不探讨bate、资本资产定价模型、证券投资报酬本的变异数。

Our Graham & Dodd investors , needless to say , do not discuss beta , the capital asset pricing model , or covariance in returns among securities .

本文基于现代投资理论（MIT）和资本资产定价模型（CAPM），给出了上市基金运行的模糊评价方法，提出了上市基金投资项目优选方法及其收益和风险控制策略。

Based on modern investment theory ( MIT ) and capital asset pricing model ( CAPM ), the method of fuzzy valuation of mutual fund is given . And a series of strategy for investment and risk management is derived .

跨期资产定价模型（IAPM）能够弥补资本资产定价模型这一理论缺陷。

Intertemporal asset pricing models ( IAPM ) can remedy this theoretical defect of the capital asset pricing model .

贝塔系数作为资本资产定价模型（CAPM）中的组成部分，是衡量系统性风险的重要指标，它的精确与否对于预测收益率、资产定价和评估资产表现等具有重要的意义。

As the component of the capital asset pricing model ( CAPM ), beta is an important indicator of systemic risk , which has important implications for predicting the yield , asset pricing , evaluating the performance of assets and so on .

第二章主要阐述了理财产品设计的理论基础与相关模型，包括生命周期理论、客户细分理论、资本资产定价模型、套利定价模型、B-S模型等。

The second chapter primarily focuses on the financial product design theories , and relative models , including life-cycle theory , customer segmentation theory , capital asset pricing model , arbitrage pricing model and " B-S " model .

近年来国外关于资本资产定价模型（CAPM）的实证研究不断对其提出质疑，其中很多研究认为除了市场风险外，规模、价值等风险因素也对股票的收益率具有一定的解释能力。

The foreign empirical study of capital assets on the pricing model ( CAPM ) be questioned constantly in recent years . Many studies that besides the market risk , firm size , the value of the shares factors for yield has certain ability .

得出了一种基于对称PBF合同的资产定价模型，在该模型中，CAPM模型的线性关系仍然满足，且模型中有三个β值，市场风险和基准组合风险成为定价因素。

We drive an asset pricing model when the market is clearing . This paper shows that the linear relationship of CAPM still holds and there are three betas , and the risk of market and benchmark portfolio is priced in this model .

本文首先对资本成本理论进行了综述，并且利用经典资本资产定价模型即CAPM理论对中国房地产行业资本成本进行了计算，得出中国房地产行业的资本成本为1244%。

This paper firstly reviews the theory of cost of capital , and uses CAPM to achieve the result that the cost of capital of real estate industry in China is around 12.44 % . The theory of cost is going further because of strategic cost driver .

无须单期框架中的严格假定，他们也获得了连续时间跨期资源配置的一般均衡模型&时际资产定价模型（ICAPM）以及消费资产定价模型（CCAPM）。

They achieved intertemporal general equilibrium model in continuous time without strict assumptions in temporal frame & intertemporal capital asset pricing model and consumption capital asset pricing model .