金融经济学(东北财经大学 蒋贤锋)

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1、FinancialEconomics
 84817008spirits77@263.netwww.redrival.com/sinavc/teachTextbook:LeroyStephrenF.,JanWerner.2001.PrinciplesofFinancialEconomics.CambridgeUniversityPress.("!$#)References:HuangChi-fu,RobertH.Litzenberger.1988.Foun-dati

2、onsforFinancialEconomics.North-Holland,NewYork.(('*)%&)+,)465678:9$:?%.-2004-0/213-;6<=">ProcessPlanned:1-2chaptersperweek.PartIEquilibrium1Chapter1EquilibriuminSecurityMarket1.1NotationsandrepresentationTimeisdividedintodate0,whichrepresentsthecer-tainty,andda

3、te1,whichrepresentsuncertainty.Atdate1,thereareSpossiblestates.Securityjisidentiedbyitspayovector(rowvector)x=(x;


;x)2(Rs)T,jj1jswherexjsdenotespayoofunitsofconsumptioninstatesatdate1.Itspriceatdate0isp2R+.TherejareniteJnumbersofsecurities.Thepayomatrixis01x1X=@...A2RJ

4、S.AportfolioisidentiedbyaxJcolumnvectorh=(h;:::;h)T2RJ,wherehisthe1Jjholdingsofthesecurityj.PortfoliopayoisdenotedbyhTX.Therepresentativeagent'sconsumptionisc02Rat1date0andc2RS.Hispreferencesareindicatedbya1continuousutilityfunctionu(c;c):RS+1!R.We01assumethattheutilityfunct

5、ionisalwaysdierentiablethroughthebook.Hisendowmentisw02Ratdate0andw2RS.ThereareIagents.1Utilityfunctionuisincreasing(orstrictlyincreasing)00atdate0ifu(c0;c1)>u(c0;c1)(oru(c0;c1)>u(c0;c1))00wheneverc0>c0(orc0>c0)foreveryc1.Itisincreasing0(orstrictlyincreasing)atdate1ifu(c0;c1)

6、>u(c0;c1)000(oru(c0;c1)>u(c0;c1))wheneverc1>c1(orc1>c1)foreveryc0.Itis(strictly)increasingifitis(strictly)increasingatbothdate0anddate1.ForaSdimensionvectore2RS,itssthelementsis1andallotherelementsare0.Forexample,e1=(1;0;:::;0).esiscalledtheArrowsecurityorstateclaimwiththeclai

7、mtooneunitofconsumptiononoccurrenceofstatesatdate1.Matrixcomparison,seep6inthetextbook.Equivalencyrepresentation,seep6inthetextbook.1.2CompletesecuritymarketDenition1.1TheassetspanMisM=fz2RS:z=hTXforsomeh2RJg.Denition1.1saysthattheassetspanissome(maynot2all)portfolio'spayo.

8、Denition1.2ThemarketiscompleteiifM=RSandincompleteiifM6=RS.D