资产定价经典文献目录

资产定价经典文献总结资产定价经典文献总结 一、理论部分 （一）开山之作（一）开山之作 Bachelier,Bachelier, L.,1900,1964,L.,1900,1964, “Theory“Theory ofof Speculation,Speculation, inin P.P. CootnerCootner (ed.)”,(ed.)”, TheThe RandomRandom Character of Stock Market Prices, Cambridge, MA:MIT Press, pp.17~78.Character of Stock Market Prices, Cambridge, MA:MIT Press, pp.17~78. （二）一般均衡理论（二）一般均衡理论 1 1、、Arrow, Kenneth, and Gerard Debreu, 1954, “Existence of an EquilibriArrow, Kenneth, and Gerard Debreu, 1954, “Existence of an Equilibrium forum for a a Competitive Economy,”Competitive Economy,” EconometricaEconometrica22, 26522, 265– –290.290. （三）证券组合选择理论（三）证券组合选择理论 1 1、、Markowitz, M., 1952,Markowitz, M., 1952,““Portfolio SelectionPortfolio Selection””, Journal of Finance, 7(1), pp.77~91., Journal of Finance, 7(1), pp.77~91. （提出最优投资组合模型，以资产回报率的均值和方差作为选择的对象，不考虑个体的效（提出最优投资组合模型，以资产回报率的均值和方差作为选择的对象，不考虑个体的效 用函数）用函数） 2 2、、Jaganmatham,Jaganmatham, B.B. andand T.T. MaMa , , 2002,2002,““RiskRisk ReductionReduction inin LargeLarge Portfolios:Portfolios: A A RoleRole forfor Portfolio Weight ConstraintsPortfolio Weight Constraints””,Working Paper, Northwestern University.,Working Paper, Northwestern University. （研究投资组合权重受限制时的最优投资组合问题）（研究投资组合权重受限制时的最优投资组合问题） （四）资本资产定价理论（四）资本资产定价理论 1 1、、Sharpe, W., 1964,Sharpe, W., 1964,““Capital Asset Prices: A Theory of Capital Market Equilibrium underCapital Asset Prices: A Theory of Capital Market Equilibrium under Conditions of riskConditions of risk””, Journal of Finance, 19, pp.425~442., Journal of Finance, 19, pp.425~442. 2 2、、 Lintner, L., 1965,Lintner, L., 1965, ““The Valuation of Risk Assets and the Selection of Risky Investments inThe Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital BudgetsStock Portfolios and Capital Budgets””, Review of economics and Statistics, 47, pp.13~37., Review of economics and Statistics, 47, pp.13~37. 3 3、、Mossin,Mossin, J.,J., 1965,1965, ““EquilibriumEquilibrium inin a a CapitalCapital AssetAsset MarketMarket””, , Econometrica,Econometrica, 35,35, pp.768~783.pp.768~783. （以上三篇文献独立地得出资本资产定价理论）（以上三篇文献独立地得出资本资产定价理论） 4 4、、 Fama, E. and K. French, 2004,Fama, E. and K. French, 2004,““The Capital Asset Pricing Model: Theory and EvidenceThe Capital Asset Pricing Model: Theory and Evidence”” , , Working paper.Working paper. （对（对 CAPMCAPM 的理论和实证研究作了综述性描述）的理论和实证研究作了综述性描述） （五）期权定价理论（五）期权定价理论 1、Sharpe, W., 1978, Investments, Englewood Cliffs, NJ:Prentice- Hall. （衍生证券定价理论之一：二叉树模型） 2 2、、Cox, J., S. Ross and M. Rubinstein, 1979,Cox, J., S. Ross and M. Rubinstein, 1979,““Option Pricing: A Simplified ApproachOption Pricing: A Simplified Approach ””, , Journal of Financial Economics,7 , pp.229~63.Journal of Financial Economics,7 , pp.229~63. （对二叉树模型的扩展；二叉树的数值算法）（对二叉树模型的扩展；二叉树的数值算法） 3 3、、Black, F. and M. Scholes, 1973,Black, F. and M. Scholes, 1973,““The Pricing of Options and Corporate LiabilitiesThe Pricing of Options and Corporate Liabilities ””, , Journal of Political Economy, 81 (3), pp.637~654.Journal of P