金融市场学第四版第13章资产定价理论.ppt

@Copyright by Yichun Zhang, Zhenlong Zheng and Hai Lin, Department of Finance, Xiamen University, 2014 因素模型：多因素模型 证券收益率取决于多个因素 @Copyright by Yichun Zhang, Zhenlong Zheng and Hai Lin, Department of Finance, Xiamen University, 2014 套利组合 套利组合要满足的三个条件： 1、套利组合要求投资者不追加资金, 即套利组合属于自融资组合； 2、套利组合对任何因素的敏感度均为零，即套利组合没有因素风险； 3、套利组合的预期收益率应大于零。 @Copyright by Yichun Zhang, Zhenlong Zheng and Hai Lin, Department of Finance, Xiamen University, 2014 套利组合 思考： 如何构建套利组合？ @Copyright by Yichun Zhang, Zhenlong Zheng and Hai Lin, Department of Finance, Xiamen University, 2014 套利定价模型：单因素模型 极值问题：套利组合的预期收益率