financial economics金融经济学学习笔记

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1、ContentsPreface............................................10IFoundations111Theclassiccapitalassetpricingmodel121.1Portfolioselection...................................121.1.1Thewealthconstraint............................121.1.2Choice.....................................131.1.3Choicewithou

2、tasafeasset.........................141.1.4Themarketportfolio.............................161.2TheCAPM......................................181.3TheAPT.......................................201.3.1Afirstderivation...............................201.3.2Empiricalevidence........................

3、......211.3.3TheasymptoticAPT.............................211.4Appendix1:Someanalyticaldetailsforportfoliochoice..............221.4.1Theprimalprogram.............................221.4.2Thedualprogram...............................231.5Appendix2:Themarketportfolio..........................25

4、1.5.1Thetangentportfolioisthemarketportfolio................251.5.2Tangencycondition..............................251.6Appendix3:AnalternativederivationoftheSML.................271.7Appendix4:Broaderdefinitionsofrisk-RothschildandStiglitztheory.....28References...............................

5、...........302TheCAPMingeneralequilibrium312.1Introduction......................................31Contents°cbyA.Mele2.2Thestaticgeneralequilibriuminanutshell.....................312.2.1Walras’Law..................................322.2.2Competitiveequilibrium...........................322.2.

6、3Optimality...................................332.3Timeanduncertainty.................................362.4Financialassets....................................362.5Arbitrageandoptimality...............................372.5.1Howtopriceafinancialasset?........................372.5.2TheLandofCoc

7、kaigne............................392.6Equivalentmartingalemeasuresandequilibrium..................432.6.1Therationalexpectationsassumption....................432.6.2Stochasticdiscountfactors..........................442.6.3Optimalityandequilibrium......