Aplicando Inferência Bayesiana no Capital Assets Pricing Model - CAPM
Financial Economicshomepage.fudan.edu.cn/yaojing/files/2015/02/FE1.pdf · Asset Pricing and...
Transcript of Financial Economicshomepage.fudan.edu.cn/yaojing/files/2015/02/FE1.pdf · Asset Pricing and...
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�Æ�m�µHelp humans to be humans
�¬�Ƶ�o���¬XÚ�±��¬Jø�SÚ½º
²L�Ƶto create economically efficient and balanced societies
consisting of ordinary people (Not merely for “Government” or
“Corporate”)
A basic tenet of finance�e ultimate function of the financial system is to satisfy people’s
consumption preferences, including all the basic necessities of life, such as
food, clothing, an shelter (Bodie and Merton, )
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�¬�Ƶ�o���¬XÚ�±��¬Jø�SÚ½º
²L�Ƶto create economically efficient and balanced societies
consisting of ordinary people (Not merely for “Government” or
“Corporate”)
A basic tenet of finance�e ultimate function of the financial system is to satisfy people’s
consumption preferences, including all the basic necessities of life, such as
food, clothing, an shelter (Bodie and Merton, )
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“at the earliest opportunity, the mind slips back into the old grooves of thought
since analysis is utterly impossible without a frame of reference, a way of
thinking about things, or, in short, a theory.” by Paul A. Samuelson, “Lord
Keynes and the General�eory,” Economica (), pp. õ
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“at the earliest opportunity, the mind slips back into the old grooves of thought
since analysis is utterly impossible without a frame of reference, a way of
thinking about things, or, in short, a theory.” by Paul A. Samuelson, “Lord
Keynes and the General�eory,” Economica (), pp. õ
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In my humble opinions
Market fluctuations create many “economists” as any weird views can
find their supports in a random world. Most of them just take what they
see (know) recently for granted and behave as “idea speculators”, far
away from scientific terms. ...
What I wish is that you are able to analyze the real markets as people
with formal science education ...
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A.ì��²LÆø�Ì
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Arrow, K., and Debreu G. . Existence of an equilibrium for a
competitive economy, Econometrica, : –.
Arrow, cì��²LÆø; Debreu, cì��²LÆø
7K²LƵØ(½5²LÆ
cì��²LÆøµHarry M. Markowitz, William F.
Sharpe, and Merton H. Miller
cì��²LÆøµMyron S. Scholes, Robert C. Merton
cì��²LÆøµEugene Fama, Lars Peter Hansen, and
Robert Shiller�® (E��Æ) 7K²LÆ c � /
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cì��²LÆø I
ê��] (Harry M. Markowitz)§gÊ (William F. Sharpe), �
V (Merton H. Miller)
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97K;[�JøïþØÓ�7K]�Ý]�ºxÚÂÃ
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Markowitz, H. . Portfolio selection. Journal of Finance, :–.
1�g“u���·”, “�e very beginning of modern finance”...
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cì��²LÆø II
MarkowitzÄgïáý�¿Âþ�'u�EÝ]|Ü�n
اÄgòºx(½�Ý]+n�Ø%§3d�c�k²�Ú
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Sharpe, W. F. . Capital asset prices: A theory of market
equilibrium under conditions of risk. Journal of Finance, :–.
Modigliani, F. ( cì��²LÆø) and Miller M. . �e
cost of capital, corporation finance, and the theory of investment.
American Economic Review, : –.
7KƵÝ]ÆÚúi7K
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cì��²LÆø
d��d (Myron S. Scholes) Ú%î (Robert C. Merton)
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Black, F. and Scholes, M. . �e pricing of options and corporate
liabilities. Journal of Political Economy, ():–. 1�g“u�
��·”§<ak¤±5A^�ª����êÆúª
Merton, R. . �e theory of rational option pricing. Bell Journal
of Economics and Management Science, : –.
Black-Scholes n��z
Merton, R. . Continuous Time Finance. Cambridge: Blackwell.
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cì��²LÆø I
Eugene Fama, Lars Peter Hansen, and Robert Shiller
Fama JÑ� Efficient Market Hypothesis (EMH)´y�7Kï
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Fama/French factor �.
Fama and French ()�e Cross-Section of Expected Stock
Returns. Journal of Finance .: -.
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cì��²LÆø II
Fama and French () Common Risk Factors in the Returns on
Stocks and Bonds
Fama and French () Multifactor Explanations of Asset Pricing
Anomalies
íÄ Empirical Asset Pricing �uÐ
David Booth ^ factor model �ngmMÄ7 DFA
Shillerµ1�7KÆ Behavioral Finance M©<��§#p�
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cì��²LÆø III
“�e first was the neoclassical revolution in finance that began with
the capital asset pricing model and efficient markets theory around
the s, and with the intertemporal capital asset pricing model and
arbitrage-based option-pricing theory in the s.
�e second was the behavioral revolution in finance which began in
the s with questions about the sources of volatility in financial
markets, with the discovery of numerous anomalies, and with
attempts to incorporate into financial theory Kahneman and
Tversky’s () prospect theory, and other theories from
psychologists.” (Shiller, )
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cì��²LÆø IV
Finance is widely viewed as amoral field. It has substantially
neglected the protection of our ordinary riches, our careers, our
home, and our very abilities to be creative as professionals (Shiller,
�e New Financial Order: Risk in the st Century).
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7K²LÆ�á I
[] William F. Sharpe () Investors and Markets: Portfolio Choices,
Asset Prices, and Investment Advice, Princeton University Press
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[] Bodie, Zvi and Merton, Robert C. Finance. N.J.: Prentice
Hall§.
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7K²LÆ�á II
[] Luenberger, David G. Investment Science. Oxford University Press,
New York, .
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[] Boyle, P. P. and Panjer, H. H. et al. Financial Economics-with
Applications in Investments, Insurance and Pensions, Actuarial
Foundation, .
[] Hull, J. , Option, Futures, and Other Derivatives, Prentice Hall.
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7K²LÆ�á III
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[] Huang, C. and Litzenberger, R. H. Foundation for Financial
Economics. North Holland, .
[] Ingersoll, Jonathan E.�eory of Financial Decision Making.
Rowman & Littlef ield, .
[] LeRoy, Stephen F. and Werner, Jan. Principles of Financial
Economics. Cambridge University Press, .
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7KkÃu�¬í?
Zingales, Luigi, Does Finance Benefit Society? (January ).
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