资本市场中代表风险资产的选择问题  

Selecting Representatives of Risk Assets in Capital Market

作　　者：邹辉文[1] 刘融斌 陈德棉[1] 

机构地区：[1]同济大学经济与管理学院,上海200092 [2]抚州师范专科学校数学与计算机系,江西抚州344000

出　　处：《同济大学学报（自然科学版）》2003年第8期995-1000,共6页Journal of Tongji University:Natural Science

基　　金：江西省社会科学规划资助项目 (0 3 yi10 )

摘　　要：针对资本资产定价模型中关于所有资产都市场化的假设的不足 ,探讨资本市场中代表风险资产的选择问题 .给出选择代表风险资产的原则 .通过选取s个代表风险资产 ,得出类似于资本资产定价模型的资本资产定价关系式 ,并对两种资产有效前沿的相切关系给出新的较完整的证明 .The defect of the hypothesis about all capital assets being marketed in the capital assets pricing model (CAPM) was aimed at and the problem of selecting representatives of risk assets in capital market was discussed.The principle of selecting representatives of risk assets in capital market was given.By selecting s representatives of risk assets,the formula of capital assets pricing similar to CAPM was obtained.The new and comparatively complete proofs that the two kinds of valid forward positions of asset portfolios are tangent were shown.Then,a basis for empirical tests of CAPM was built up.

关 键 词：资本资产定价模型 有效资产组合 市场组合 风险资产 

分 类 号：F830.9[经济管理—金融学] F832.48