资产定价典文献目录.doc

资产定价经典文献总结 一、理论部分 Bachelier, L.,1900,1964, “Theory of Speculation, in P. Cootner (ed.)”, The Random Character of Stock Market Prices, Cambridge, MA:MIT Press, pp.17~78. （二）一般均衡理论 1、Arrow, Kenneth, and Gerard Debreu, 1954, “Existence of an Equilibrium for a Competitive Economy,” Econometrica 22, 265–290. （三）证券组合选择理论 1、Markowitz, M., 1952,“Portfolio Selection”, Journal of Finance, 7(1), pp.77~91. （提出最优投资组合模型，以资产回报率的均值和方差作为选择的对象，不考虑个体的效用函数） 2、Jaganmatham, B. and T. Ma , 2002,“Risk Reduction in Large Portfolios: A Role for Portfolio Weight Constraints”,Working Paper, Northwestern University. （研究投资组合权重受限制时的最优投资组合问题） （四）资本资产定价理论 1、Sharpe, W., 1964,“Capital Asset Prices: A Theory of Capital Market Equilibrium under Conditions of risk”, Journal of Finance, 19, pp.425~442. 2、Lintner, L., 1965,“The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets”, Review of economics and Statistics, 47, pp.13~37. 3、Mossin, J., 1965, “Equilibrium in a Capital Asset Market”, Econometrica, 35, pp.768~783. （以上三篇文献独立地得出资本资产定价理论） 4、Fama, E. and K. French, 2004, “The Capital Asset Pricing Model: Theory and Evidence”, Working paper. （对CAPM的理论和实证研究作了综述性描述） （五）期权定价理论 1、Sharpe, W., 1978, Investments, Englewood Cliffs, NJ:Prentice- Hall. （衍生证券定价理论之一：二叉树模型） 2、Cox, J., S. Ross and M. Rubinstein, 1979, “Option Pricing: A Simplified Approach”, Journal of Financial Economics,7 , pp.229~63. （对二叉树模型的扩展；二叉树的数值算法） 3、Black, F. and M. Scholes, 1973, “The Pricing of Options and Corporate Liabilities”, Journal of Political Economy, 81 (3), pp.637~654. 4、Merton, R., 1973a,“Theory of Rational Option Pricing”,Bell Journal of Economics and Management Sciences, 4(1),pp.141~183. （衍生证券定价之二：连续时间模型，利用随机分析第一次对期权定价问题提出了严格的解决方法——偏微分方程法） 5、Smith, C, 1976,“Option Pricing: A Review”, Journal of Financial Economics, 3, pp.3~51. 6、Malliaris, A., 1983 ,“Ito s Calculus in financial Decision Making”, Society of Industrial and Applied Mathematics Review, 25, pp.481~496. （给出了偏微分方程的具体