第一讲金融经济学的基本思想货币金融学.ppt

《金融经济学》第一讲 第一讲 金融经济学的基本思想 1.1 金融经济学简史及其基本文献 Arrow (1921-)-Debreu (1921-2004) 一般经济均衡存在定理 Arrow, K., and G. Debreu, 1954, Existence of an equilibrium for a competitive economy, Econometrica, 22: 265-290. Markowitz (1927-) 证券组合选择理论 Markowitz, H., 1952, Portfolio selection, Journal of Finance, 77-91. Markowitz, H., 1959, 1991 Second ed., Portfolio Selection: Efficient Diversification of Investment, Basil Blackwell, Cambridge 1.1 金融经济学简史及其基本文献 关于公司理财的 Modigliani (1918-2003)-Miller (1923-2000) 定理 (Modigliani-Miller Theorem, MMT) Modigliani, F., and M. Miller, 1958, The cost of capital, corporation finance, and the theory of investment, American Economic Review, 48: 261-297. 1.1 金融经济学简史及其基本文献 Sharpe (1934-), Lintner (1918-), Mossin 等的资本资产定价模型 (Capital Asset Pricing Model, CAPM) Sharpe, W., 1964, Capital asset prices: a theory of market equilibrium under conditions of risk, Journal of Finance, 19:425-442. Lintner, J., 1965, The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets, Review of Economics and Statistics, 47:13-37. Mossin, J., 1966, Equilibrium in a capital asset market, Econometrica, 34: 768-783. 1.1 金融经济学简史及其基本文献 Fama (1939-) 有效市场理论 Fama, E. F., 1965, Random walks in stock market prices, Financial Analysts Journal, September/October. Fama, E. F., 1970, Efficient Capital Markets: A review of theory and empirical work, Journal of Finance, 25: 383-417. 1.1 金融经济学简史及其基本文献 Black (1938-1995)-Scholes (1941-)-Merton (1944-) 期权定价理论 Black, F., and M. Scholes, 1973, The pricing of options and corporate liabilities, Journal of Political Economy, 81: 637-654. Merton, R., 1973, The theory of rational option pricing, Bell Journal of Economics and Management Science, 4: 141-183. Merton, R. C., 1992, Continuous-Time Finance, Rev. ed., Blackwell, Oxford. 1.1 金融经济学简史及其基本文献 Ross (1944-) 套利定价理论 (Arbitrage Pricing Theory, APT) 和资产定价基本定理 Ross, S. A., 1976, The arbitrag