指令配置:微观结构与资产配置的统一框架  

Order allocation model: A model combining microstructure theory and asset allocation theory

作　　者：郑振龙[1] 刘杨树[1] 

机构地区：[1]厦门大学经济学院金融系,厦门361005

出　　处：《管理科学学报》2012年第6期40-48,共9页Journal of Management Sciences in China

基　　金：国家自然科学基金资助项目(70971114);国家青年科学基金资助项目(71101121);福建省自然科学基金资助项目(2009J01316)

摘　　要：本文将资产配置的方法推广到限价指令簿市场上.在投资者效用函数符合指数效用的假设下,考虑了限价指令簿中委托的执行概率,将限价指令簿的边际订单递交纳入到资产配置的框架中.首先,推导出投资者在限价指令市场上对市价委托指令和限价委托指令配置的解析式,从而将资产定价模型与限价指令簿的微观结构理论模型统一到一个模型中.其次,还证明了传统的单资产CAPM是本文模型在只能递交边际市价委托时的一个特例.This paper extends asset allocation model to order allocation model, which bridges the gap between microstructure theory and asset allocation theory. In particular, by maximizing investor＇ s utility of order sub- mission problem in the same way with solving asset allocation problem, we receive a close-form solution on al- location about order submission. In addition, we prove that CAPM is a special case of our model when submis- sion is constrained to be marginal market order.

关 键 词：指令递交 指令配置 资产配置 

分 类 号：F830.91[经济管理—金融学]