| 基于资产链的异质投资者资本资产定价模型 |
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| 引用本文： | 胡盈,吴冲锋. 基于资产链的异质投资者资本资产定价模型[J]. 管理工程学报, 2011, 25(3) |
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| 作者姓名： | 胡盈 吴冲锋 |
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| 作者单位： | 上海交通大学金融工程研究中心,上海,200052 |
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| 基金项目： | 国家自然科学基金资助项目(70671068) |
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| 摘 要： | 本文基于资产链理论给出投资者的异质预期假设,通过对资产链各节点系统风险的分解,将传统的资本市场线转变为资本市场超平面,建立基于资产链的资本资产定价模型。本文使用小波滤波分解资产收益,对模型在上海A股市场的适用性进行检验,结果表明模型能够区分各类系统风险对资产收益的影响,对资产的平均收益具有显著的解释能力。
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| 关 键 词： | 资产链 异质预期 资本资产定价模型 小波分析 |
The Heterogeneous Agent of CAPM based on Asset Chains |
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| HU Ying,WU Chong-feng. The Heterogeneous Agent of CAPM based on Asset Chains[J]. Journal of Industrial Engineering and Engineering Management, 2011, 25(3) |
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| Authors: | HU Ying WU Chong-feng |
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| Affiliation: | HU Ying,WU Chong-feng(Financial Engineering Research Center,Shanghai Jiao Tong University,Shanghai 200052,China) |
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| Abstract: | The key assumption of the classical Capital Asset Pricing Model(CAPM) is homogeneous belief,which means all investors hold the same expectation about the probability distribution for future returns of assets.Under this assumption,each efficient portfolio on the capital market line means a combination of risk-free asset and market portfolio of risky asset.The efficient portfolio contradicts with people's decisions on financial investments activities in the real world.For instance,besides the index-linked ins... |
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| Keywords: | asset chains heterogeneous beliefs CAPM wavelet analysis |
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