资产定价阅读文献列表10.doc

一、资产定价综述文献 Campbell, J., 2000, Asset Pricing in the New Millennium, Journal of Finance, 55, 1515-1567. Constantinides, G., 1987, Theory of valuation: overview and recent developments, in Frontiers of Financial Theory, G. Constantinides and S. Bhattacharya (eds.), Rowman and Littlefield, Totowa, New Jersey. 资产定价理论, 2006, 杨云红, 管理世界, 3, 156-168. 二、经典理论 1、均衡定价 Lucas, R., 1978, Asset prices in an exchange economy, Econometrica, 46, 1426-1446. ■Cox, J. C. , J. E. Ingersoll, JR. , and S. A. Ross, 1985, An intertemporal general equilibrium model of asset prices, Econometrica, 53, 363-384. 2、无套利定价 Cox, J., S. Ross, and M. Rubinstein, 1979, Option pricing: a simplified approach, Journal of Financial Economics 7, 229-263. Dybvig, P. and S. Ross, 2003, Arbitrage, state prices, and portfolio theory, in Handbook of the Economics of Finance, G. Constantinides, M. Harris, and R. Stulz (eds.), North-Holland, Amsterdam, The Netherlands. Harrison, J. and D. Kreps, 1979, Martingales and arbitrage in multi-period securities markets, Journal of Economic Theory, 20, 381-408. 3、最优投资与消费决策 Campbell, J., 2003, Consumption-based asset pricing, in Handbook of the Economics of Finance, G. Constantinides, M. Harris, and R. Stulz (eds.), North-Holland, Amsterdam, The Netherlands. ■Constantinides, G. and D. Duffie, 1996, Asset Pricing with Heterogeneous Consumers, Journal of Political Economy, 104, 219-240. Duffie, D., 2003, Intertemporal asset pricing theory, in Handbook of the Economics of Finance, Constantinides, G., M. Harris, and R. Stulz (eds.), North-Holland, Amsterdam, The Netherlands. ■Dumas, B., 1989, Two-person dynamic equilibrium in the capital market, Review of Financial Studies, 2(2), 157-188. ■He, H. and N. Pearson, 1991, Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite-dimensional case, Journal of Economic Theory, 54, 259-304. Kocherlakota, N. R., 1996, The Equity Premium: Its Still a Puzzle, Journal of Economic Literature,