金融资产定价理论

金融资产定价理论的基础与运用

Basis and Application of Financial Asset Pricing Theory

作为有效市场假说的重要异象，动量效应对传统金融资产定价理论提出了最严峻的挑战。

As one of the abnormal cases , the momentum effect severely challenges the traditional financial asset pricing theory .

通过对金融资产定价理论的历史文献回顾，可以把资产定价理论大致分为三个阶段萌芽阶段、发展阶段和繁荣阶段。

Through the historical review of asset pricing theory , we can divide it into three stages : the embryonic stage , the developing stage and the flourishing stage .

最后对金融资产定价理论做出展望，指出现代数学方法的运用仍是资产定价理论向前发展的动力。

The flourishing stage is the time after 1980 . In the end , we give the prospects for financial asset pricing theories , point out that the using of modern mathematical methods is the motive to develop asset pricing theory all the same .

然而，由于短暂的发展历史，行为金融学的资产定价理论本身还有许多值得深入探讨的地方。

However , the asset pricing theory of behavioral finance itself has many places worthy of further study because of its short history of development .

多因子定价模型（MultifactorPricingModel）是资产定价理论发展到套利定价理论（ArbitragePricingTheory，APT）之后的延伸，是对金融资产定价研究的重要理论突破。

The multifactor pricing model is a crucial breakthrough in asset pricing theory and a derivation or an extension of the arbitrage pricing theory ( APT ) .

根据传统的金融理论如资本资产定价理论，假设股票市场的收益率序列服从正态分布，而且是同方差。

According to the traditional financial theory , such as the capital asset pricing theory , assuming that the stock market return series follow a normal distribution , and the same variance .

金融理论的核心内容包括公司金融与资产定价理论。其中，投资组合选择、风险管理及资产定价问题的研究具有重要的理论和实际意义。

It is well-known that the key elements of finance theories are corporation finance and assets pricing theory , in which portfolio selection , risk management and asset pricing in incomplete markets are of great significance for the development of theories and practical applications .

未定权益的定价和套期保值理论是金融数学研究的核心问题之一，它涉及现代金融学的资产定价理论、投资组合理论以及现代数学中的随机分析、随机控制、优化理论、数理统计等学科。

Uncertain pricing is one of the key questions of financial mathematics study , and it involves the theories of modern finance such as asset pricing thoery , investment combination theory and it involves theories of modern mathematics such as stochastic analysing , stochastic controlling and optimizing theory too .