随机折现因子分析  

The Analysis of Stochastic Discount Factor

作　　者：肖辉[1] 吴冲锋[1] 

机构地区：[1]上海交通大学安泰管理学院,上海200052

出　　处：《工业工程与管理》2004年第3期71-73,110,共4页Industrial Engineering and Management

摘　　要：介绍了资产定价理论的产生和发展,主要分析了随机折现因子模型(SDF)及其实证研究。现代金融学的许多经典问题,如套利定价原理以及风险中性定价等都可以用随机折现因子模型理解,随机折现因子模型是资产定价模型的统一框架。This paper introduces the emergence and development of asset-pricing theory, and then focuses on the stochastic discount factor model (SDF) and the empirical study. Through the stochastic discount factor model, it is easy to understand some classical problems of modern finance, such as arbitrage pricing theory and risk neutral pricing, etc. Asset pricing models are unified under the stochastic discount factor frame.

关 键 词：资产定价 套利定价 随机折现因子 

分 类 号：F830.9[经济管理—金融学]