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从新兴市场动态多变的基本特征出发,根据现代Intertemporal组合理论的思想方法,重点研究探讨了资产(证券)的收益、需求以及预算约束的动态特性及方程,深入分析了证券市场定价的动态机制.在此基础上,又进一步研究提出了在可行集状态可由单一变量描述的情况下的资产定价动态均衡模型.与传统的CAPM理论不同,本模型表明在动态市场环境下,资产价格与可行集变化情况密切相关
Based on the dynamic characteristics of emerging markets, this paper focuses on the dynamic characteristics and equations of return, demand and budget constraint of assets (securities) based on the modern Intertemporal combinatorial theory and deeply analyzes the dynamic mechanism of the pricing of securities markets . On this basis, we further study and propose a dynamic equilibrium model of asset pricing under the condition that the feasible set state can be described by a single variable. Different from the traditional CAPM theory, this model shows that in the dynamic market environment, the asset price is closely related to the change of feasible set