金融经济学第一讲.ppt

第一讲金融经济学的基本思想
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《金融经济学》第一讲
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., and G. Debreu, 1954, Existence of an equilibrium for petitive economy, Econometrica, 22: 265-290.
Markowitz (1927-) 证券组合选择理论
Markowitz, H., 1952, Portfolio selection, Journal of Finance, 77-91.
Markowitz, H., 1959, 1991 Second ed., Portfolio Selection: Efficient Diversification of Investment, Basil Blackwell, Cambridge
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《金融经济学》第一讲
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-Miller Theorem, MMT)
Modigliani, F., and M. Miller, 1958, The cost of capital, corporation finance, and the theory of investment, American Economic Review, 48: 261-297.
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《金融经济学》第一讲
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(Capital Asset Pricing Model, CAPM)
Sharpe, W., 1964, Capital asset prices: a theory of market equilibrium under conditions of risk, Journal of Finance, 19:425-442.
Lintner, J., 1965, The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets, Review of Economics and Statistics, 47:13-37.
Mossin, J., 1966, Equilibrium in a capital asset market, Econometrica, 34: 768-783.
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《金融经济学》第一讲
金融经济学简史及其基本文献
Fama (1939-) 有效市场理论
Fama, E. F., 1965, Random walks in stock market prices, Financial Analysts Journal, September/October.
Fama, E. F., 1970, Efficient Capital Markets: A review of theory and empirical work, Journal of Finance, 25: 383-417.
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《金融经济学》第一讲
金融经济学简史及其基本文献
Black (1938-1995)-Scholes (1941-)-Merton (1944-) 期权定价理论
Black, F., and M. Scholes, 1973, The pricing of options and corporate liabilities, Journal of Political Economy, 81: 637-654.
Merton, R., 1973, The theory of rational option pricing, Bell Journal of Economics and Management Science, 4: 141-183.
Merton, R. C., 1992, Continuous-Time Finance, Rev. ed., Blackwell, Oxford.
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《金融经济学》第一讲
数学公理化方法及其有关争论
现代数理经济学是以 1954 年 Arrow-Debreu 一般经济均衡存在定理的出现为标志的。1959 年,Debreu 把