Coherent decision analysis with inseparable probabilities and utilities

This article explores the extent to which a decision maker's probabilities can be measured separately from his/her utilities by observing his/her acceptance of small monetary gambles. Only a partial separation is achieved: the acceptable gambles are partitioned into a set of belief gambles, which reveals probabilities distorted by marginal utilities for money, and a set of preference gambles, which reveals utilities reciprocally distorted by marginal utilities for money. However, the information in these gambles still enables us to solve the decision maker's problem: his/her utility-maximizing decision is the one that avoids arbitrage (i.e., incoherence or Dutch books).     

股票市场的有限套利：一个行为金融模型

从行为金融的角度,结合有限套利与非理性个体对股票市场的套利者收益、资产价格特征进行考察。通过引入趋势交易者,发展了有限套利模型,并得到了套利者期望收益和市场波动性的解析解。然后对较宽范围内参数的可能取值进行了模拟。结果发现,套利收益同套利者能力和个体交易者的非理性程度有明显的非线性关系,在一定的条件下,套利者不但无法稳定市场,反而会促进资产价格的波动。     

行为金融理论的应用:重要异象探讨

为了对充斥于现实金融市场的标准金融学无法解释的大量异象给出更加合理的解释,并且对实践起到指导作用,尝试从实证的角度研究解释行为金融学所谓的市场异象,并且得出了有实证支持,角度新颖且与标准金融学理论相左的结论。相对于传统的标准金融学,行为金融学对投资者理性的设定和市场现象的研究更加符合实际,所以具有更加重要的理论和实践意义。     

现代投资组合理论模型的比较研究

对证券组合理论的Markowitz均值-方差模型以及均衡时关于资产的期望收益率的资本资产定价模型(CAPM)和套利定价理论(APT),进行了深入地比较研究,同时从动态投资组合理论,基于VaR的投资组合理论以及行为投资组合理论三个领域阐述了现代投资组合理论的新进展,并对其未来的发展进行了展望。     

资产结构的基本分类与清算价值的基本衡量

公司账面价值与清算价值的偏离程度和公司资产结构类型之间存在着高度的关联关系,不同的偏离程度通常对应着不同的资产结构类型。公司的资产结构类型可划分为强金融资产、强实物资产、强无形资产三种基本类型。其中,强金融资产结构类型公司账面价值与清算价值之间的偏离程度最小,最易于衡量。所以,基于清算价值衡量的股权资本套利模型通常会在强金融资产结构类型类公司中应用。     

Price Manipulation and Quasi‐Arbitrage

In an environment where trading volume affects security prices and where prices are uncertain when trades are submitted, quasi‐arbitrage is the availability of a series of trades that generate infinite expected profits with an infinite Sharpe ratio. We show that when the price impact of trades is permanent and time‐independent, only linear price‐impact functions rule out quasi‐arbitrage and thus support viable market prices. When trades have also a temporary price impact, only the permanent price impact must be linear while the temporary one can be of a more general form. We also extend the analysis to a time‐dependent framework.     

论行为财务学的范式创新

行为财务学范式是对标准财务学范式的革命.标准财务学的范式包括"理性人"、"偏好稳定"、"不考虑财务人的情绪对资本市场资产价格的影响"、"有效套利"和"有效市场".行为财务学的范式包括"有限理性"、"偏好不稳定"、"财务人的情绪严重影响资本市场的资产价格"、"有限套利"和"市场并不有效".行为财务学的范式对资本市场的大量异象和财务人偏好非理性心理学实验结果有较合理的理论解释力.并有一定理论的预见力.行为财务学原理已经被大量运用去指导财务人财务管理行为与实践.     

行为金融学理论发展研究概述

20世纪80年代以来行为金融学逐渐兴起,传统金融理论受到严峻的挑战。阐述行为金融学产生的背景及其基本观点,重点分析行为金融学的核心理论——前景理论和有限套利理论,概括出行为金融学的六大主要理论模型。     

中国权证市场认购权证的价格偏误研究

使用Black-Scholes模型对中国权证市场上发行的认购权证进行了研究。研究表明,总体上权证的市场价格高于其模型价格80.38%(历史波动率参数的B/S模型)和140.50%(E-GARCH波动率参数的B/S模型);另一方面,随着时间的推移,市场价格和模型价格之间的偏误有减小的趋势。此外,研究还发现,2006年底至今,部分认购权证的市场价格不仅低于其模型价格,而且低于其价格下限。这似乎违反了无套利原则,但中国市场交易机制的限制(股票卖空限制、股票T 1交易机制)使得这一现象得以较长时间存在。当权证的市场价格低于其价格下限时,在特定的情况下,套利交易可以进行。     

Information Aggregation in Dynamic Markets With Strategic Traders

This paper studies information aggregation in dynamic markets with a finite number of partially informed strategic traders. It shows that, for a broad class of securities, information in such markets always gets aggregated. Trading takes place in a bounded time interval, and in every equilibrium, as time approaches the end of the interval, the market price of a “separable” security converges in probability to its expected value conditional on the traders' pooled information. If the security is “non‐separable,” then there exists a common prior over the states of the world and an equilibrium such that information does not get aggregated. The class of separable securities includes, among others, Arrow–Debreu securities, whose value is 1 in one state of the world and 0 in all others, and “additive” securities, whose value can be interpreted as the sum of traders' signals.