组合投资的非均衡性研究

本文对资本市场均衡理论、资本资产定价模型(CAPM)和套利定价模型(APT)的经验检验、有效市场假设的检验进行了分析；研究了固定持有成本和随机折扣因素所造成的非均衡中的上界和下界；阐述了资本市场非均衡的趋势,并提出了将均衡与非均衡的共性与个性相结合的三个研究原则.

A Study on Non-equilibrium of Portfolio Selection

The article analyzes the theory of asset market equilibrium, some empirical investigation of CAPM and APT and some tests of the efficient market hyPothesis. The article studies the fixed hold-ing costs and the stochastic discount factors to illustrate how these factors derive upPer bound and lower bound to cause non-equilibrium. The article addresses the tendency of asset market non-equilibriun and proPoses three principles which combine general characters with individuality between equilibrium and non - equilibrium.