广义椭圆分布条件下的资本资产定价模型  

Capital asset pricing model on condition of generalized elliptical distribution

作　　者：徐绪松[1] 侯成琪[1] 

机构地区：[1]武汉大学经济与管理学院,武汉430072

出　　处：《系统工程理论与实践》2008年第1期17-23,共7页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金(70771083;70440003)

摘　　要：假设风险资产的收益率服从广义椭圆分布,在证券市场经济的假设条件下,采用均衡分析的方法证明了广义椭圆分布条件下的资本资产定价模型.因为广义椭圆分布能够比正态分布更好的描述风险资产收益率的概率分布,所以广义椭圆分布条件下的资本资产定价模型将能够更好的描述风险资产的价格行为.The distributions of returns of risky securities have an important effect on equilibrium prices of them, but empirical distributions of returns of them have non-normal characteristics such as skewness and excess kurtosis, so assumption of normal distribution is reasonless in Capital Asset Pricing Model （CAPM）. Generalized elliptical distributions can well describe empirically distributional characteristics of returns of risky securities. This article assumes returns of risky securities have generalized elliptical distributions, proves Capital Asset Pricing Model （CAPM） on condition of generalized elliptical distributions using assumption of securities market economy and equilibrium analysis. Because generalized elliptical distribution can describe distributions of returns of risky securities better than normal distribution, CAPM on condition of generalized elliptical distribution can describe prices of risky securities better.

关 键 词：资本资产定价模型 广义椭圆分布 正态分布 

分 类 号：F830.59[经济管理—金融学]