金融经济学参考资料.pdf

Lecture Notes in Financial Economics
c by Antonio Melea,b,c
°
aThe London School of Economics and Political Science
bCeRP - Collegio Carlo Alberto
cUniversity of Turin
October 2007
Contents
Preface............................................ 10
I Foundations 11
1 The classic capital asset pricing model 12
Portfolio selection................................... 12
The wealth constraint............................ 12
Choice..................................... 13
Choicewithoutasafeasset......................... 14
The market portfolio............................. 16
...................................... 18
....................................... 20
A first derivation ............................... 20
Empirical evidence.............................. 21
The asymptotic APT............................. 21
:Someanalyticaldetailsforportfoliochoice.............. 22
The primal program............................. 22
The dual program............................... 23
:Themarketportfolio.......................... 25
Thetangentportfolioisthemarketportfolio................ 25
Tangency condition.............................. 25
:AnalternativederivationoftheSML................. 27
Appendix 4: Broader definitionsofrisk-RothschildandStiglitztheory..... 28
References.......................................... 30
2 The CAPM in general equilibrium 31
Introduction . ..................................... 31
Contents c by A. Mele
°
The static general equilibrium in a nutshell . .................... 31
Walras’ Law .................................. 32
equilibrium . .......................... 32
Optimality ................................... 33
Time and uncertainty................................. 36
Financial assets .................................... 36