金融经济学第一讲.pptx

(1921-)-Debreu(1921-2004)一般经济均衡存在定理Arrow,K.,,1954,petitiveeconomy,Econometrica,22:265-(1927-)证券组合选择理论Markowitz,H.,1952,Portfolioselection,JournalofFinance,77-,H.,1959,1991Seconded.,PortfolioSelection:EfficientDiversificationofInvestment,BasilBlackwell,Cambridge《金融经济学》(1918-2003)-Miller(1923-2000)定理(Modigliani-MillerTheorem,MMT)Modigliani,F.,,1958,Thecostofcapital,corporationfinance,andthetheoryofinvestment,AmericanEconomicReview,48:261-297.《金融经济学》(1934-),Lintner(1918-),Mossin等的资本资产定价模型(CapitalAssetPricingModel,CAPM)Sharpe,W.,1964,Capitalassetprices:atheoryofmarketequilibriumunderconditionsofrisk,JournalofFinance,19:425-,J.,1965,Thevaluationofriskassetsandtheselectionofriskyinvestmentsinstockportfoliosandcapitalbudgets,ReviewofEconomicsandStatistics,47:13-,J.,1966,Equilibriuminacapitalassetmarket,Econometrica,34:768-783.《金融经济学》(1939-)有效市场理论Fama,.,1965,Randomwalksinstockmarketprices,FinancialAnalystsJournal,September/,.,1970,EfficientCapitalMarkets:Areviewoftheoryandempiricalwork,JournalofFinance,25:383-417.《金融经济学》(1938-1995)-Scholes(1941-)-Merton(1944-)期权定价理论Black,F.,,1973,Thepricingofoptionsandcorporateliabilities,JournalofPoliticalEconomy,81:637-,R.,1973,Thetheoryofrationaloptionpricing,BellJournalofEconomicsandManagementScience,4:141-,.,1992,Continuous-TimeFinance,.,Blackwell,Oxford.《金融经济学》(1944-)套利定价理论(ArbitragePricingTheory,APT)和资产定价基本定理Ross,.,1976,Thearbitragetheoryofcapitalassetpricing,JournalofEconomicTheory,13:341-,.,1978,Asimpleapproachtothevaluationofriskystreams,JournalofBusiness,51:453-475.《金融经济学》,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概括的逻辑描述。《金融经济学》