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1、一、资产定价综述文献Campbell,J.,2000,AssetPricingintheNewMillennium,JournalofFinance,55,1515-1567.Constantinides,G.,1987,Theoryofvaluation:overviewandrecentdevelopments,inFrontiersofFinancialTheory,G.ConstantinidesandS.Bhattacharya(eds.),RowmanandLittlefield,Totowa,NewJersey.资产定价理论,2006,杨云红,管理世
2、界,3,156-168.二、经典理论1、均衡定价Lucas,R.,1978,Assetpricesinanexchangeeconomy,Econometrica,46,1426-1446.■Cox,J.C.,J.E.Ingersoll,JR.,andS.A.Ross,1985,Anintertemporalgeneralequilibriummodelofassetprices,Econometrica,53,363-384.2、无套利定价Cox,J.,S.Ross,andM.Rubinstein,1979,Optionpricing:asimplifiedap
3、proach,JournalofFinancialEconomics7,229-263.Dybvig,P.andS.Ross,2003,Arbitrage,stateprices,andportfoliotheory,inHandbookoftheEconomicsofFinance,G.Constantinides,M.Harris,andR.Stulz(eds.),North-Holland,Amsterdam,TheNetherlands.Harrison,J.andD.Kreps,1979,Martingalesandarbitrageinmulti-pe
4、riodsecuritiesmarkets,JournalofEconomicTheory,20,381-408.3、最优投资与消费决策Campbell,J.,2003,Consumption-basedassetpricing,inHandbookoftheEconomicsofFinance,G.Constantinides,M.Harris,andR.Stulz(eds.),North-Holland,Amsterdam,TheNetherlands.■Constantinides,G.andD.Duffie,1996,AssetPricingwithHet
5、erogeneousConsumers,JournalofPoliticalEconomy,104,219-240.Duffie,D.,2003,Intertemporalassetpricingtheory,inHandbookoftheEconomicsofFinance,Constantinides,G.,M.Harris,andR.Stulz(eds.),North-Holland,Amsterdam,TheNetherlands.■Dumas,B.,1989,Two-persondynamicequilibriuminthecapitalmarket,R
6、eviewofFinancialStudies,2(2),157-188.■He,H.andN.Pearson,1991,Consumptionandportfoliopolicieswithincompletemarketsandshort-saleconstraints:Theinfinite-dimensionalcase,JournalofEconomicTheory,54,259-304.Kocherlakota,N.R.,1996,TheEquityPremium:It'sStillaPuzzle,JournalofEconomicLiterature
7、,34,42-71.Mehra,R.andE.Prescott,2003,Theequitypremiuminretrospect,HandbookoftheEconomicsofFinance,EditedbyG.M.Constantinides,M.HarrisandR.Stulz,ElsevierB.V..Merton,R.,1969,Lifetimeportfolioselectionunderuncertainty:thecontinuous-timecase,ReviewofEconomicsandStatistics,51,247-257.■Mert
8、on,R.
