动态资产定价理论中风险估计及其统计性质分析

一、引言古典资产定价理论，如Ｓｈａｒｐｅ的资产定价模型（ＣＡＰＭ）和Ｒｏｓ的套利定价理论（ＡＰＴ），有助于大家对风险定价及其概念的理解。这些理论解释了资产回报的横截面行为，允许根据不同的风险水平对资产进行评价和计算。这些理论的经验证明必须对风险进行估...

Risk Estimation in the Theory of Dynamic Assets Evaluation and Analysis of Statistical Features

In this paper, the author has reviewed the classical asset pricing theories, distinguishing between conditional and unconditional CAPM between conditional and unconditional APT. The conclusion is that the distinction between conditional and unconditional models depends on the specification of conditional or unconditional means, variances and covariance’s of the asset returns.