投资组合与衍生证券定价  

Investment Portfolio and Pricing of Derivatives

作　　者：夏勇军[1] 

机构地区：[1]贵州财经学院信息学院,贵州贵阳550004

出　　处：《贵州财经学院学报》2005年第4期23-25,共3页Journal of Guizhou College of Finance and Economics

基　　金：2004年贵州省教育厅自然科学项目课题资助项目

摘　　要：投资组合分析方法是现代资本投资理论中的重要方法,在证券价格模型研究中有着重要应用。其基本思想是,在充满不确定性的证券市场中,通过适当选取衍生证券的投资权重来构造一个瞬时无风险投资组合,然后根据无风险证券投资组合的价值增量应等于市场利率与初始价值的乘积这一重要关系式,来研究衍生证券的定价模型,从而揭示了衍生证券的风险和收益之间的关系。Investment portfolio approach is an important method in modern investment theory and has important applications in the study of securities pricing models. Its basic idea is to construct an instantaneously risk-free investment portfolio by appropriately selecting the investment weight of derivatives in the uncertain securities market, and, according to the important relation that value increment of the risk-free portfolio should equal the product of market interest rate and initial value, study the pricing model and get the desired results.

关 键 词：投资组合 衍生证券 定价模型 ITO定理 

分 类 号：F830.91[经济管理—金融学]