基于ε-套期保值策略的资本资产定价方法  

Capital Asset Pricing Method Based on ε-Hedging Strategy

作　　者：秦学志[1] 

机构地区：[1]大连理工大学管理学院,辽宁大连116024

出　　处：《系统工程理论与实践》2004年第10期33-38,共6页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金(70273020);大连理工大学学科建设资助项目

摘　　要：　在定义ε-套期保值策略的基础上,采用线性规划对偶原理和鞅测度理论,给出了有限(状态)证券市场资本资产的卖方套利价格和买方套利价格的计算方法.分别对允许证券卖空和现金借贷的情况及不允许证券卖空但允许现金借贷的情况进行了研究.通过求解证券价格对应的鞅或上鞅测度空间中的线性规划问题得到资本资产的ε-套利价格和买卖价格区间,并对投资者不同风险偏好对应的定价情况进行了分析.By defining ε-hedging strategy, applying duality principle of linear programming and martingale measure theory, we present a kind of calculation method for the seller's arbitrage price and the buyer's arbitrage price of capital asset in finite (state) security market. We study the following two cases: (a) allowing short selling securities, and allowing borrowing and lending cash; (b) not allowing short selling securities, but allowing borrowing and lending cash. The analyses show that the ε-arbitrage prices and the bid-ask price interval of the capital asset can be obtained by solving corresponding linear programming problems in martingale measure's spaces or super-martingale spaces corresponding to the securities. In the end, we discuss the cases in which the investor is risk-averse, risk-prone or risk-neutral.

关 键 词：鞅 套利 有限(状态)证券市场 偏好 定价 

分 类 号：F224.31[经济管理—国民经济] F830