动态资本资产定价理论评述

本文主要讨论了动态资产定价理论的产生和发展.默顿和布里登使用贝尔曼开创的动态规划方法和伊藤随机分析技术,重新考察在由随机过程驱动的不确定环境下,个人如何连续地做出消费/投资决策,使得终身效用最大化.无须单期框架中的严格假定,他们也获得了连续时间跨期资源配置的一般均衡模型--时际资产定价模型(ICAPM)以及消费资产定价模型(CCAPM).这些工作开启了连续时间金融方法论的新时代.

The Dynamic Asset Pricing Theory

This paper discusses mainly the origin and development of dynamic asset pricing theory. The dynamic programming technique initiated by Bellman and ITO stochastic analysis technique are very important, which are applied by Merton and Breeden to study how the individual make decisions of investment or consumption to maximize lifelong utility in uncerten circumstances drived by stochastic processes. They achieved intertemporal general equilibrium model in continuous time without strict assumptions in temporal frame-- intertemporal capital asset pricing model and consumption capital asset pricing model. These work initiated new time of continuous time finance methodology.