lecture 1new

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1、Micro-FoundationC.MaMarketPlaceStateofNatureAgentLecture1.Micro-FoundationofAssetFlow-BudgetPricingTheoryConstraintInvestor’sChoiceProblemNo-arbitrageandChenghuMaPositiveLinearPricingRuleMarketEquilibriumSchoolofManagement,FudanUniversitySeptember11,2012Micro-FoundationOutli

2、neC.MaMarketPlaceStateofNatureMarketPlaceAgentFlow-BudgetStateofNatureConstraintInvestor’sChoiceProblemAgentNo-arbitrageandFlow-BudgetConstraintPositiveLinearPricingRuleMarketEquilibriumInvestor’sChoiceProblemNo-arbitrageandPositiveLinearPricingRuleMarketEquilibriumMicro-Fou

3、ndationReadingC.MaMarketPlaceStateofNatureAgentFlow-BudgetConstraintInvestor’sChoiceProblemNo-arbitrageandIMa,Chapter1.PositiveLinearPricingRuleMarketEquilibriumMicro-FoundationAStochasticEconomyC.MaMarketPlaceStateofNatureAgentFlow-BudgetConstraintInvestor’sChoiceAmarketeco

4、nomyconsistsofthefollowingcomponents:ProblemNo-arbitrageandPositiveLinearE=f(W,F,P),D,IgPricingRuleMarketEquilibriumMicro-FoundationMarketPlaceC.MaMarketPlaceStateofNatureTheoriesarebasedonthefollowingtwoassumptionsontheAgentmarketplace:Flow-BudgetConstraintIThemarketisfrict

5、ionless:notransactioncosts;noInvestor’sChoicetaxes;noshort-sellingandborrowingrestrictions;Problemborrowingrate=lendingrate,etc.No-arbitrageandPositiveLinearPricingRuleIThemarketisperfectlycompetitive:nobodycanMarketEquilibriummanipulatethesecurityprices,andallagentsbehaveas

6、price-takers.QuestionWhataretheimplicationsofthetwoassumptions?Micro-FoundationStateofNatureC.MaMarketPlaceStateofNatureAgentTheuncertaintyfacedbytheeconomicagentsisabouttherealizationofstateofnatureinastatespaceW.Flow-BudgetConstraintInvestor’sChoiceIW=fw1,


,wSgisaunivers

7、alstatespaceProblemNo-arbitrageandIT=f0,


,TgrepresentsthetradingtimesPositiveLinearPricingRuleIFtisthetimetinformation:foreachw,Ft(w)istheMarketEquilibriumtimetinformationsetifthetruestateisw.Weassume:Ft(w)Fs(w)forallstIPisaprobabilitymeasureonthestatespaceMicro-Foundati

8、onAgentC.MaMarketPlaceStateofNatureAssetpricingtheoriesmaydi¤erintheirbehav