奈特不确定下资产定价消费模型的建立

在不确定条件下进行资产定价是金融学中的一个重要问题。受金融市场的时变性和人的参与,通常情况下很难得到如收益、利率、波动率等某些变量的精确估计值,现实金融市场中不仅存在概率意义上的不确定性,还存在模糊性,在实际投资中如何对不确定性给出正确的建模就变得非常重要。把不确定性理论引入到传统的资产定价模型中,通过引入不确定性惩罚因子和熵函数建立奈特不确定条件下的最优消费和投资组合模型,能够同时反映随机不确定性和模糊性,可满足投资者的需求。该模型是对经典模型的一种自然推广,它可以适用于不同类型的市场,不同类型的个体,有较好的适用性。

Establishment of Asset Pricing Consumption Model under Knightian Uncertainty

Pricing asset under uncertainty condition is an important issue in finance. Under normal conditions, it is hard to get the accurate estimated values of some variables such as earnings, interest rate, and volatility due to the time-dependent nature of financial market and the participation of people. There are not only uncertainty, but also vagueness in terms of probability in a real financial market. As a result, it is significant to model correctly with the uncertainty. Investors＆#39; demand could be met by introducing the uncertainty theory into traditional modeling for asset pricing. In other words, uncertainty penalty factor and entropy function are used to establish an optimal consumption and investment portfolio model, which reflects both random uncertainty and vagueness. The model is a natural extension of the classical model, applicable to the markets and units of different types.