含学习强度的资本资产定价模型分析  

Research on Capital Asset Pricing Model with Learning the Strength

作　　者：李乃明 师恪[1] 

机构地区：[1]新疆大学,数学与系统科学学院,新疆乌鲁木齐

出　　处：《统计学与应用》2017年第2期178-190,共13页Statistical and Application

摘　　要：根据前景理论,对于基本面分析者引入时变的风险厌恶系数,假定当风险资产的价格偏离其基本价值越大时,基本面分析者的风险厌恶系数将越小,进而引入一个敏感因子。对于图表分析者我们引入一个含学习强度的非线性价格预期函数。运用差分方程的理论分析了确定性模型的平衡解、稳定性及其分支情况,通过对确定性模型的分析我们得出学习强度具有破坏系统稳定性的作用而敏感因子具有稳定系统的作用。Based on the prospect theory, the risk attitude of fundamentalists varies over time. If the deviation of the risk asset price from the fundamental price become more lager and lager, the risk aversion coefficient for fundamentalists will become smaller and smaller and then introduce a sensitive factor. To the chartists by considering a nonlinear function impacted by the learning strength. Using the theory of difference equation, we analyze the equilibrium solution, stability and bifurcation of model. Finally, we get the following conclusion: The learning strength has the effect of destroying the stability of the market and the sensitivity factor has the effect of stabilizing the market.

关 键 词：前景理论 学习强度 敏感因子 

分 类 号：F2[经济管理—国民经济]