投资金融学方面的书籍foassetpricing8.pdfVIP

Chapter VIII. Dynamic Asset Pricing–General Aspects The objective in this chapter is to convey general insights concerning the characteristics of asset prices and returns in a dynamic environment. While much of the discussion in the finance literature has been couched in a continuous time diffusion framework, the current discussion will be discrete time. The advantages of a discrete-time approach are that it requires less technical baggage and that the formulations are more intuitive. As a result it is easier to apply the material creatively. As in most of the continuous-time-based literature, a dynamic programming approach will be employed that has the advantage of, in a sense, combining all future time periods into one. Topics discussed in this chapter are: basic properties of representative investor dynamic asset pricing models, conditions under which the CAPM applies in a multi-period economy, the Merton model, the consumption CAPM, and a discussion of asset pricing puzzles and other stylized facts. 1. BASIC PROPERTIES OF DYNAMIC ASSET PRICING MODELS (a) A Representative Investor Model o simplify matters initially, assume that a representative investor exists. Now consider the following Tdecision problem. The representative investor maximizes expected utility for a time-separable infinite horizon utility function. Choice variables are the portfolio and the consumption level in each period and the constraint is lifetime wealth. Maximize: 4 (1) E t , 0 $ u ( c ) , 0 $ 1 t t 0 Subject to: n n