【摘要】：本文將資產(chǎn)配置的方法推廣到限價(jià)指令簿市場(chǎng)上.在投資者效用函數(shù)符合指數(shù)效用的假設(shè)下,考慮了限價(jià)指令簿中委托的執(zhí)行概率,將限價(jià)指令簿的邊際訂單遞交納入到資產(chǎn)配置的框架中.首先,推導(dǎo)出投資者在限價(jià)指令市場(chǎng)上對(duì)市價(jià)委托指令和限價(jià)委托指令配置的解析式,從而將資產(chǎn)定價(jià)模型與限價(jià)指令簿的微觀結(jié)構(gòu)理論模型統(tǒng)一到一個(gè)模型中.其次,還證明了傳統(tǒng)的單資產(chǎn)CAPM是本文模型在只能遞交邊際市價(jià)委托時(shí)的一個(gè)特例.
[Abstract]:In this paper, the asset allocation method is extended to the limited price instruction book market. Under the assumption that the utility function of the investor conforms to the exponential utility, the execution probability of the delegate in the limited price instruction book is considered, and the marginal order submission of the price limit instruction book is included in the framework of asset allocation. Firstly, we derive the analytic formula of the allocation of the market price entrustment orders and the limited price entrustment orders in the price-limited order market, thus unifying the asset pricing model and the microstructure theory model of the price-limited instruction book into a single model. Secondly, it is proved that the traditional single-asset CAPM is a special case of this model when it can only submit marginal market value entrusts.
【作者單位】： 廈門大學(xué)經(jīng)濟(jì)學(xué)院金融系;
【基金】：國(guó)家自然科學(xué)基金資助項(xiàng)目(70971114) 國(guó)家青年科學(xué)基金資助項(xiàng)目(71101121) 福建省自然科學(xué)基金資助項(xiàng)目(2009J01316)
【分類號(hào)】：F224;F830.9

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本文編號(hào)：2430830