论文部分内容阅读
探讨具有有限多个风险资产和一个无风险资产、有多个投资者参与的资本资产市场中非负均衡价格的存在性条件与确定问题,从以下角度改进了现有结果:采用期望损失(Expected shortfall,简称ES)作为风险度量,保证了均值-ES框架下所得结果与期望效用极大化原理结果的一致性;对证券收益的联合分布不做假设;考虑了比例交易费用对价格的影响,所得结果更贴近现实的金融市场;不仅给出了非负均衡价格存在唯一的充要条件,而且导出了其具体表达式;在对比分析其与现有结果异同的同时,还讨论了所给充要条件与定价公式的应用与经济解释.
In this paper, we discuss the existence condition and determination of non-negative equilibrium price in a capital asset market with a limited number of risk assets and a riskless asset with multiple investors. The existing results are improved from the following aspects: Expected loss (Expected shortfall, shortened as ES) as a measure of risk to ensure the consistency between the results of the mean-ES framework and the results of the expected utility maximization principle; no assumptions are made on the joint distribution of securities returns; the effect of proportional transaction costs on prices is considered, The result is closer to the real financial market. It not only gives the only necessary and sufficient condition for non-negative equilibrium price, but also derives its concrete expression. While comparing and analyzing the similarities and differences between existing and non-negative equilibrium prices, The Application of Conditions and Pricing Formulas and Their Economic Explanation.