| 无套利定价理论及未来研究方向 |
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| 引用本文： | 王广富.无套利定价理论及未来研究方向[J].南方金融,2011(3). |
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| 作者姓名： | 王广富 |
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| 作者单位： | 神华集团有限责任公司,北京,100011 |
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| 摘 要： | 本文首先对以无套利假设作为理论基础的经典金融资产定价理论进行了梳理。然后,基于经典理论的预测结果与实际金融市场数据不能很好吻合的事实,以及行为金融学所指出的无套利定价理论的局限性,提出以一价定律作为金融资产定价的理论出发点具有重要的理论和现实意义。
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| 关 键 词： | 资产定价 无套利 一价定律 |
The Review of Non-arbitrage Pricing Theories and Prospect of Future Research |
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| Wang Guangfu.The Review of Non-arbitrage Pricing Theories and Prospect of Future Research[J].South China Finance,2011(3). |
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| Authors: | Wang Guangfu |
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| Institution: | Wang Guangfu(Shenhua Group Corporation Ltd.,Beijing,100011 China) |
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| Abstract: | This paper reviews the classical non-arbitrage financial asset pricing theories.Then,based on the fact that the predictions of the classical theories are not confirmed by the real financial market data,and the limitations of the classical theories pointed out by the behavior finance theories,this paper suggests that it is of great theoretical and practical significance to take the law of one price as the foundation of the financial asset pricing. |
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| Keywords: | Asset Pricing Non-arbitrage Law of One Price |
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