资本资产定价扩展模型理论及其发展趋势  

The Theroy of Capital Asset Pricing Extention Model

作　　者：刘春[1] 焦鹏[1] 

机构地区：[1]沈阳工业大学管理学院,辽宁沈阳110023

出　　处：《商业研究》2004年第4期9-11,共3页Commercial Research

摘　　要：组合投资理论自从马柯维茨1952年建立以来,一直在迅速发展,特别是夏普(1962)、林特尔(1965)和摩森(1966)提出并发展了资本资产定价模型(CAPM)后,使纯粹的理论研究有机会应用于实际证券分析当中。但是,CAPM忽略了许多因素的影响,使CAPM理论与实际存在难以弥合的距离。为此,对CAPM进行修正和补充就成为后来学者研究的重点。Since Harry Markowitz created investment portfolio theory in 1952, the portfolio investment theory has been quickly developed. Especially after Sharpe (1964), Linter (1965), and Mossin (1966) put forward and developed capital asset pricing model (CAPM), portfolio theory had a chance to apply itself to security analysis. But CAPM took some unrealistic assumptions, which made it hard accord with real world. Many reseachers then came to amend and supplement CAPM, which has become the emphasis of later researches.

关 键 词：资本资产定价模型 CAPM 投资组合 预期收益率 资本市场 APT 套利定价 交易成本 

分 类 号：F830.9[经济管理—金融学] F830.59