存在方差持续性的资本资产定价模型分析  

Analysis of capital asset pricing model with persistence in variance

作　　者：李汉东[1] 张世英[2] 

机构地区：[1]北京师范大学系统科学系,北京100875 [2]天津大学管理学院,天津300072

出　　处：《管理科学学报》2003年第1期75-80,共6页Journal of Management Sciences in China

基　　金：国家自然科学基金资助项目(70171001;79800012).

摘　　要：自回归条件异方差(ARCH)类模型突破了传统计量经济分析的同方差假定,对现代资本资产定价理论产生了深远的影响.随着对时变方差研究的深入,方差持续性也日益受到人们的重视.文章首先介绍了条件均值、条件方差以及在自回归条件异方差的基础上介绍了方差持续性的有关概念和性质,并将之用于资本资产定价模型的研究,讨论了条件方差持续性对资本资产定价模型的影响,并且进一步讨论了在多资产条件下向量GARCH模型持续性对组合投资的影响.Autoregressive conditional heteroscedasticity (ARCH) models, which broke though the assumption of constant variance of traditional econometrics, have had a profound influence to the modern capital asset pricing theory. Along with development in researching time_varying variance, variance persistence has being concerned by more and more economists. In this paper we firstly introduce the conceptions and the properties of conditional mean, conditional variance and the persistence of autoregressive conditional heteroscedasticity models, and then discuss the capital asset pricing model of a portfolio which follows the time_varying conditional variance process. Moreover, in the end of the paper, we analyze the persistence of multi_asset portfolio which follow a vector GARCH process.

关 键 词：条件均值 条件方差 持续性 资本资产定价模型 GARCH模型 向量GARCH模型 计量经济分析 金融投资 

分 类 号：F830.59[经济管理—金融学] F224.0