第一讲金融经济学的基本思想《金融经济学》第一讲 2 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 《金融经济学》第一讲 3 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 . 《金融经济学》第一讲 4 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. 《金融经济学》第一讲 5 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. 《金融经济学》第一讲 6 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. 《金融经济学》第一讲 7 金融经济学简史及其基
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