《金融经济学第一讲》PPT课件

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1、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.,andG.Debreu,1954,Existenceofanequilibriumforacompetitiveeconomy,Econometrica,22:265-290.Markowitz(1927-)证券组合选择理论Markowitz,H.,1952,Portfolioselection,JournalofFinance,77-91.Markowitz,

2、H.,1959,1991Seconded.,PortfolioSelection:EfficientDiversificationofInvestment,BasilBlackwell,Cambridge2《金融经济学》第一讲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-MillerTheorem,MMT)Modigliani,F.,andM.Miller,1958,Thecostofcapital,corpor

3、ationfinance,andthetheoryofinvestment,AmericanEconomicReview,48:261-297.3《金融经济学》第一讲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(CapitalAssetPricingModel,CAPM)Sharpe,W.,1964,Capitalassetprices:atheoryofmarketequilibriumunderconditionsofrisk,Jour

4、nalofFinance,19:425-442.Lintner,J.,1965,Thevaluationofriskassetsandtheselectionofriskyinvestmentsinstockportfoliosandcapitalbudgets,ReviewofEconomicsandStatistics,47:13-37.Mossin,J.,1966,Equilibriuminacapitalassetmarket,Econometrica,34:768-783.4《金融经济学》第一讲1.1金融经

5、济学简史及其基本文献Fama(1939-)有效市场理论Fama,E.F.,1965,Randomwalksinstockmarketprices,FinancialAnalystsJournal,September/October.Fama,E.F.,1970,EfficientCapitalMarkets:Areviewoftheoryandempiricalwork,JournalofFinance,25:383-417.5《金融经济学》第一讲1.1金融经济学简史及其基本文献Black(1938-1995)-Sc

6、holes(1941-)-Merton(1944-)期权定价理论Black,F.,andM.Scholes,1973,Thepricingofoptionsandcorporateliabilities,JournalofPoliticalEconomy,81:637-654.Merton,R.,1973,Thetheoryofrationaloptionpricing,BellJournalofEconomicsandManagementScience,4:141-183.Merton,R.C.,1992,Cont

7、inuous-TimeFinance,Rev.ed.,Blackwell,Oxford.6《金融经济学》第一讲1.1金融经济学简史及其基本文献Ross(1944-)套利定价理论(ArbitragePricingTheory,APT)和资产定价基本定理Ross,S.A.,1976,Thearbitragetheoryofcapitalassetpricing,JournalofEconomicTheory,13:341-360.Ross,S.A.,1978,Asimpleapproachtothevaluationof

8、riskystreams,JournalofBusiness,51:453-475.7《金融经济学》第一讲1.1金融经济学简史及其基本文献至此，金融经济学的大厦就完全成形。上述这些经济学家，除了已故的Black以及Lintner,Mossin,Fama和Ross外，都先后获得了诺贝尔经济奖。这一大厦是有共同基础的整体。这门课希望能把这一整体进行