asset pricing - a brief review - uni-muenchen.de · 2019-09-28 · munich personal repec archive...

26
Munich Personal RePEc Archive Asset Pricing - A Brief Review Li, Minqiang 2010 Online at https://mpra.ub.uni-muenchen.de/22379/ MPRA Paper No. 22379, posted 30 Apr 2010 17:08 UTC

Upload: others

Post on 15-Mar-2020

0 views

Category:

Documents


0 download

TRANSCRIPT

Page 1: Asset Pricing - A Brief Review - uni-muenchen.de · 2019-09-28 · Munich Personal RePEc Archive Asset Pricing - A Brief Review Li, Minqiang 2010 Online at MPRA Paper No. 22379, posted

Munich Personal RePEc Archive

Asset Pricing - A Brief Review

Li, Minqiang

2010

Online at https://mpra.ub.uni-muenchen.de/22379/

MPRA Paper No. 22379, posted 30 Apr 2010 17:08 UTC

Page 2: Asset Pricing - A Brief Review - uni-muenchen.de · 2019-09-28 · Munich Personal RePEc Archive Asset Pricing - A Brief Review Li, Minqiang 2010 Online at MPRA Paper No. 22379, posted

Asset Pricing Models – A Brief Review

Minqiang Li

Georgia Institute of Technology

Abstract

I first introduce the early-stage and modern classical asset pricing and

portfolio theories. These include: the capital asset pricing model (CAPM), the

arbitrage pricing theory (APT), the consumption capital asset pricing model

(CCAPM), the intertemporal capital asset pricing model (ICAPM), and some

other important modern concepts and techniques. Finally, I discuss the most

recent development during the last decade and the outlook in the field of asset

pricing.

Page 3: Asset Pricing - A Brief Review - uni-muenchen.de · 2019-09-28 · Munich Personal RePEc Archive Asset Pricing - A Brief Review Li, Minqiang 2010 Online at MPRA Paper No. 22379, posted

2

������������ ��������

����asset������ ������������������

�� �!" #$%�� ��&'(����)*�+,�-.�!/01

�2345�67�89�:�;.<=>�23��5?�" ��@&'�

ABC4�DE�FGH��!IJ�K>LH?�M�NO�<<�PQ���

RS�asset pricing��TDUVW�X23� Y"5���Z1S[\�]^

_`Yabcd��M�ef�portfolio���gJ��RShi�jk\lmn

o�M�pqrs���tuvw�

x(%yz{|}~����(%W����Z1��RS��J����

��0��|��O���RS��0�����������������

����:���RS�������{�2����������� }

�financial derivatives��¡R¢£67�fixed income securities�<<�¤¥��

RS¦M�ef���§¨ �©L��ªhi�����RS«¬­®X¯°Z

1±²�³��´µ¶��·¸��RShi$¹º»¼�½��M�efhi�

�{|�¾¼0��¿À�

��RS�!M�efhi�Á �nÃÄÅ��x(ÆÇ���/È

X(M�hÉÊË�hi\�gÌ�XAB���AB�2Í��ÎÏ�ÐÑÒ

¥���RS��ABJÓÂ����/��lmÔÕÖ×�RS�ÎRØÔ0

1Ù7Ú�Ö×�ABÛ��GÜno���Ý=�ØX23IJ�Þß�x89

ÆÇ���89Ó·�àáâã\��RS�äå�æçÐ�89�23èÏ�

é¢��êë���OìGíî<�ïð�ñò���RS��:�óô89C4

õHM�j��sovereign investment funds���öX÷øj�Z1ù^ M�Û�

�ÁÂ���RS!M�efúû�

üJ�yýþ��23��RS!M�ef�hi�Á�þ��Jµ�¶�

�hi0��J�jk\�üÛ��tµ��÷��0�­Ê{®����

�� ¥��RShi���!����yþ����Ç�X÷�ýt�ÁÂ

�����Z1���üþ^��ø����>������1����

�behavioral finance����Ý���financial engineering��<<�üÛn���

���R¥M�ef�hi���RSý����úû�ÖH S!"�equity

premium puzzle���yÛn=>#i��:�¨¥hi¦K6!$�33¨%�

Û&'°()*/y+�

J���y!Õ�ü,����-��{.�/0��RSF1Y2f_i

�3*4Ü���440 �2f_i4 Campbell�2000��Mehra ¦ Prescott

�2003���! Cochrane�2005��Campbell�X 2000¶�Õ���RS��

2��õ¸5¥K6¦hi!$�67�Mehra ¦ Prescott ¸Á��ÖH S!

"�Cochrane ¸5¥��RS¦89��!$�%��¨¥F1�©L�4D

�4 Ingersoll�1987���! Huang¦ Litzenberger �1988��#°:�3;�<�

Page 4: Asset Pricing - A Brief Review - uni-muenchen.de · 2019-09-28 · Munich Personal RePEc Archive Asset Pricing - A Brief Review Li, Minqiang 2010 Online at MPRA Paper No. 22379, posted

3

�¸Á��RS�=9hi«¬�>?�@@�A��ø� �:#<ý:nB

±CDEF�$«¬��G�<4 Duffie�2001��Cochrane�2001��LeRoy

¦ Werner�2001��Pennacchi�2008���! Skiadas�2009��*ý Cochrane

�2001��LeRoy¦ Werner�! Skiadas:nB±H!EF�$«¬�Cochrane�

<:»¼J·NI|JK�stochastic discount factor��jk\�no�«¬¤n

o�·NI|JKL{�/õÂM�NO�$«¬��<P�ÂQ�R�´STM

U§ÔVW�LeRoy ¦ Werner ÛnH!EF�$«¬�¸Á����RS�=9

hijk�/XP�ÂQ��¦ Cochrane §Ô� õÂ�X����®�¢£Y�

RVJ�4Z[�\]^�_$�Hilbert space�!\� ¤�`a�23P�\

�bc de�Skiadas! LeRoy¦ Werner#�<�%f�Pno�� Skiadas

ghhi��X'°�P���ÂQ���´ÛnH!EF�$«¬�Duffie �

�Hi�i1�H!EF�$«¬�´X��RS�j�°�kð¥�l¦�m�

tn�¦$o�*/<no�Pennacchi CDÇ���j�pD���RS�P

4tÁÂ�o��P���Ûqý����j�°n�ôU�rs<t�Xu�°

��Û���3*KÜ�rsuv�´�<���*/�<^wø��:�XE

F�$¦��Ý�xyz�'°��() Björk�2009�Y Shreve�2004��

�y�=>{|�-�J}¯~��ü��©L���RS�ªhi�}�

~M��ø@µL�ÁÂST!b��j�\���¶��n����}�~�þ

¸ÁM���RStµ�¶���Z��}�~����

������������ ��������

��RShi���½��»¼J�6§<S�j�\��W���G

�arbitrage�����optimization�¦���equilibrium��PQ�G�gâã\

n�J�GNO���@g����� M�°Z1��ÎÏ�Ä��@gâã�

ËQ�����üÈ�R*ý��ö��üÈWk6z·NI|JK��J�n

o�«¬@L{no�I|JK�J÷�V\���no�«¬�kO�{�n

���S�Yg��n���ÎÏ�no���RS«¬� ���4ø«¬@

��R�âãY����¡R¢£%���� ���<<�Jj���RSh

i������÷$¹º�WnOJ�ô�«¬Õ�U5����

J��RShi�0�ý��4ñò�hi&'����RS«¬

�Capital Asset Pricing Model�n^� CAPM���GRShi�Arbitrage Pricing

Theory, n^� APT�� L����RS«¬�Intertemporal Capital Asset Pricing

Model, n^� ICAPM��¡¢����RS«¬�Consumption Capital Asset

Pricing Model, n^� CCAPM���!LHRShi�Option Pricing Theory��

*ý�Markowitz, Miller¦ SharpeJ�Ê{¦0� CAPMÄ£U 1990¶�¤¥]

���¦�Merton ¦ Scholes @J�Ê{¦0�LHRShiÄ£U 1997 ¶�¤

¥]���¦���÷ø©L«¬�K6�|­n��§{X�X/È�VWh¨

4©¥üÈ>O»¼gª««¬�¬Â ¦�1 �J�3*ÁÂ�-Çü�§X

÷øhi­����

Page 5: Asset Pricing - A Brief Review - uni-muenchen.de · 2019-09-28 · Munich Personal RePEc Archive Asset Pricing - A Brief Review Li, Minqiang 2010 Online at MPRA Paper No. 22379, posted

4

�� �� �� �� ��������������������������������

CAPM ���L�hi�X/�0�®Á¯Ü�y°4 Markowitz

�1952��Sharpe�1964��Lintner�1965��Mossin�1966���! Black

�1972��Markowitz �ݯ��± ��J²!Õ�(È��,³´�Þߦµ

L¢£Y!$�¨��Markowitz �¶+J¥/Ê{�Þß�O�diversification�

÷ST��·¸Þß�M�°\�J¡RµL¢£Y�o�¹º�»¼�Þß�

Markowitz Ü0½�¾��·N¢£Y�Þß�M�°¿ðÀ~2��Jef

ý�Á�Â0½t¼������� Markowitz�4�YÃ�Ä�ñò��h

i��Å�JÔ�²�ݯ�Á ­Æ4�Ç\,³´�ÈK\�J Markowitz

�ÉÊiyËÌOý� Friedman�n°�nÛ�¤¥]¦£U°�~Í Markowitz

�ݯ�æ�´����ÉÊ�ÎÏÂQ�n��Sharpe�1964��Lintner

�1965��Mossin�1966���! Black�1972��X Markowitz�Ð[-0½hi

¯�ÑÒ�Sharpe �ÓÔý��}�Õ{|�|� CAPM �0�?���²�Ö

צ|�¿Ü�4Pno�Black 6z���n�JØÞß����¿Ð� CAPM

O��Ù � – CAPMP�Ú�÷ø©L�y+ý��Ê{�âãÞß�ÛÜ�

Þß�¦AB�RÞß�ÛÜÝ� Þß�÷¢£Y�¨5?��:�4ÞßÅ

�efficient frontier��Ù§¨ef�zero-correlated portfolio��j��NRh

�fund separation theorem�<Û� CAPM ý3*ÁÂ�ST�àáÊ�-�'÷

øâ1�ÓÔ�J©Ly+ý4ÞßÅ�ýãäåq�§�µLæçY¦qÏ0½�

¦|��èéç;§ï�

hi\��L� CAPM �êL4ô35?��üÈ���Rçë�ì�·

N¢£YY�R�ÞÜíP�üîÜ�L�[-0½��0ï�-��-M�NO

� nð n§¨�ñÞß���­ò Ri���� iJ�Ló�·N¢£Y��-

µLæçYÀ»����� � �����ô0½õö� ���� � ������L�[-0½M�°

�÷û�ø�rs2���HÁ��ÂUM�ef�0½t¼�÷�4#Zùúû���HÁUh¦� 1���úû�M�ef�µL¢£Y¡RJ�K

P[� �����üÈ�����P4�»:� 1�À»�=>���÷û�-ü

��������� (2.1)

­ýþHÁh¦� 1��!�´pqµL¢£Y� ����

��� ��

�� � � ����� �������� ��

� � ��� (2.2)

J� ������KP��P4�¨:���4Þef�efficient portfolio�� /È��>

W�4ÞßÅ�÷÷û��êÜ�����K�Lagrangian multiplier��0ïQ

¨�¨�5�#4Þef�hH�Ð�}�ef�HÁ¦ �������ç�}¯ef�HÁ¦������ç�}¯ef*Kç��0½t¼�ef�global

Page 6: Asset Pricing - A Brief Review - uni-muenchen.de · 2019-09-28 · Munich Personal RePEc Archive Asset Pricing - A Brief Review Li, Minqiang 2010 Online at MPRA Paper No. 22379, posted

5

minimum variance portfolio����6z4ÞßÅJqÏ0½-µL¢£Y_$ý�

�ú��ð�ç��

4Þef�HÁ5?���3ÁÂ����¦¡R�µL¢£Y� �����ç�����J4ÞßÅ\rs#Ý�0½t¼ef�÷�ç���ÂUP4

4ÞßÅ\�ef:��¿ð÷#rR�ef�� �÷W�� oj�Rh�

¿Ð��¯j��NRh�Two Funds Separation Theorem��¯j��NRhg{�

��tj�R�M�NOý4 n ñÞß���X�L�[-0½M�°���

����²#4Þef¯�ñÞß���M�NO¦â�� nñÞß���½

�<o��

CAPM ý�3ÁÂ�ST�����������������üȬ��R#4å�ef p¦ q�n�RU4Þ��÷ � � �RV�ef p¦ q�·N¢£Y�ô0½

��ef q�·N¢£Y�0½���ð æ��'°�k��0|÷W����

»ð æ���P�Ìr� ÷ST�n�X�ö�Ý�t¼0½4Þef m�

üÈ��6z�J����4Þef z, ÂU����� � �����ÛW�����t¼0½4Þef�*/�4Þef:��X�X����X��#ef�n§¨��

Z�Ä���X��#ef�§�¥�t¼0½4Þef�#��/È�#

µL¢£Y��t¼0½4Þef�µL¢£Y��N�����nÑÒ¥÷

�RX�ÐP�­�/È�#·N¢£Y�0½�À¦�Ðç;��t¼0

½4Þef�µL¢£Y�0½�#��÷# ~f�®�Jy+ý{|ð�G

Ü÷ø ~�X¡R��n§¨efX m¦ z���6z�ö�4Þef p�

·N¢£Y:� m ¦ z �·N¢£Y�hH�Ð�Ä#HÁ��W� p ¨¥ m

¦ z��� [�÷W� Black�1972��Ê{�Ù � – CAPM«¬��\�6z0ï

�¥â1ý�j�¦ !�0ï�Ô�Ù � – CAPM«¬K"\��·N¢£

Y�¨5?�J÷�¨5?ý�#jW� m¦ z�·N¢£Y�

J¿Ð5?� CAPM ��4ØÞß����JqÏ0½-µL¢£Y_$ý

ØÞß��¦�ö*/���P4ef�#$��ú%ð�üÈ�&P4ñÞß�

��{�tuM�NOW�4ÞßÅ�J��Jhr�ØÞß��n�tuM�

NOW���ú�â4Þßŧ'�ç(Y�%ð�÷ú'ðW�PQ���âã

ð�capital market line��÷'�\�efW�PQ�âãef m�P4�M�

°�n�²È�Þß�)�ö�:o�o�âãef�²È�no��rsno

�ØÞße���âãef!$�Á�÷�J4ØÞß����¯j�Rh�¿

Ð*/��+,âãj��NRh�Money Market Fund Separation Theorem��

�ef�·N¢£Y���ØÞß���¢£Y�����½���-ë·N¢£Y�excess return�����Yef�µL-뢣Y�/�qÏ0½��W�

�.Þßç/�Û�01Y �Sharpe ratio����âãð\�ef=4t$�

01Y��23¯ ����

Page 7: Asset Pricing - A Brief Review - uni-muenchen.de · 2019-09-28 · Munich Personal RePEc Archive Asset Pricing - A Brief Review Li, Minqiang 2010 Online at MPRA Paper No. 22379, posted

6

J�JØÞß�����2X-ë·N¢£YZ1�¨�U´�0�?W�

1D� CAPM 0�?��-P�ü

� � �� � �� �� � ��! " #�� (2.3)

÷���� �� � ��! ÷o��J�¹ºâãÞßÄÌ®�¢£Y�� ������

RÞß�/�����Ù§¨�­�L�[� 0�P� � ����Ý� Þß�non-

systematic risk��¹ºÝ� Þß�4h0½�´nXµL¢£Y4�ö�¶+�

X\?QL�[�üÈ0|µL-뢣Y���ð ¨��÷W�PQ�67âãð�security market line��

J CAPM 0�?ý4Þef m �¤����¦5Þß��4ÞßÅ oÎR����6z/�HÁÀ»¦���� �� ����! �ç���n)6ô0½õö�7�2

â���Jâãef��Á¦/È�µL-뢣Y�ç, ÷��Öfü

�%��

J�8 CAPM���Õ�üÊ�-JØÜý�4Ü�9ÑÒ�J CAPMý

m ��4Þef���üÈÜ�n�R�4Þef�¡3M�ef p��Ú/

Oø�:;J÷3<=-���)6ØÞß��¦ p!$�ef�7�üÈ�kU

´��¼�01Y� �Treynor ¦ Black �1973�Ìr��3�hef�ST�

÷�3�hef a ��¿ðt$�>?Y�information ratio��$���U´�Black¦ Treynor Z�Ä6z��@ÖRh

��� ���

� " $���� (2.4)

÷0�g{¿ð�3�hef¦¡3ef#ÄA�üÈÛ��æ´â����â

ãð\��BC�01YD;¤�3�hef�>?YEæ�MacKinlay

�1995�@g{>?YK"\��ef�01Y�X\�0�?��h

¨� m bK�4Þ��´j��h°C4F4>?�P�²��U´âã01

Yg���.Þßç/�Treynor ¦ Black âyýîÜn�3�GV�h¨��

:� CAPM �ÑÒ� Black-Litterman «¬�Black ¦ Litterman�1992��÷�

j��h°ÛC4F4>?�´²GÜ¥HI�Bayesian�hi�gGµL¢£Y

À»¦ô0½õö�JnKZ1L�[-0½���tn�J CAPM ýÞß�Ü0

½�«L��4§Ô�o��ݯÜ*/23Þß�M���Ú0½��jN

�P�Gini coefficient��VaR�<<�÷�n¯B±���

������������ ����������������

�L� CAPMý�4�JO��W�âã�·N¢£Y�´©J 1966¶�

King�1966�WJK6ý0|��âãJO:�Ý*ÅJOf�Ûñò���µL

¢£Y�÷Ûó��GRShi�t©��{0��

Page 8: Asset Pricing - A Brief Review - uni-muenchen.de · 2019-09-28 · Munich Personal RePEc Archive Asset Pricing - A Brief Review Li, Minqiang 2010 Online at MPRA Paper No. 22379, posted

7

�GRShi�APT�¦ CAPM no���4ôJO�/��-Û¦

CAPMno��2��,� APT��-@=P�ø�´��S� APT��iÛP

�ø�J APT �0�ð�ý®Á¯Ü�y+4 Ross�1976��Huberman

�1982��Chamberlain ¦ Rothschild�1983��Chamberlain�1983��Ingersoll

�1984���! Connor�1984��t©� APT{|J Ross�²*hi���»¼

J=9���jk\�´�'÷Qâ1�URn�êh��Huberman* APT�ê

L¯�������ÂO�ÌZ�SZ�G�asymptotic arbitrage�÷ST�

Chamberlain ¦ Rothschild��! Chamberlain B±�¨T� APT�L�[-0½�

U¦JO�U!$�¨��Ingersoll�! Connor�X APT�20ǯ�g±²

���*ý Ingersoll xhi\���U�PÓJO�P���440 �y

°�

-Çü�����- Huberman�1982��õÂ����²)6�EV�â

ã��n�âã/Õ�ô{�no����J} nâãý4 nñÞß

���´�n�JWâãý�P4���¢£YXX¤ k¡R�JO� �÷

� APT�tÁÂ�«¬�-�ÜP�0����-ü

% � & " ���' " �#� (2.5)

÷�%� n ���¢£YÀ»�&�/È��Т£YÀ»�'��JOõö�/���YÀ»���JO�����JOZ[õö�#��·NÀ»�Huberman Ú�-'ç�����!#�¨%õö�X\��­4�²�\Z�÷ø�-:n�¬Ó��Ä���P��APT �p��L{�¨T�Т£Y&�«¬���´÷p��Huberman ÌZ��SZ�G�ST��M�Ï^

J÷«¬���EV�À»��À»��J} nâã��M�ef���

�M�Ï^ cJP4âã�:nÓÂ�ö]Mr�´/J�âã���Т£

Y¿À¥çØ^�o�/J�âã��·N¢£Y�0½¿À¥Ù�/W���

��SZ��Gef�Huberman ýÆ4Ê!�´�Gef�#¨¥·N¢£

Y�L�[¦0½�úû������úûü���J�]Mr�Ù�M�Ï

^�­�/4�KåYÂU�Т£Y�qÏ0½��¿À¥Ø^� �_âã

\W�JSZ�Gef�

��D���âã�`��-�APT �hi»¼J�����-!\��

W�âã�n�JSZ�G�APT ��i�ü��âã�n�JSZ�G��_

µL¢£Y¬�µf�ýþ�ð ¨�� ÛW����Т£Y��µfÜÐ

PÀ»¦'ý�À»������ÂÜ�\���úû�APT �êL*K§Ô��

���2ÂÜï6ï��-�Т£Ynµf�ýþ\�ð ¨����üÈ*À

»&Mñ´¤ÐPÀ»¦'ý�À»`��K_$\��_��6zæ�a½À»W`���SZ�Gef�

Page 9: Asset Pricing - A Brief Review - uni-muenchen.de · 2019-09-28 · Munich Personal RePEc Archive Asset Pricing - A Brief Review Li, Minqiang 2010 Online at MPRA Paper No. 22379, posted

8

APT ¦ CAPM �»¼Jno�-!\�#no�hi���\�nkð¥

���Z1��´��üÈJ APT ýb^�SZ�÷ÁÂ��-� �_

CAPM�����c�� APT���Á�

������������ ������������������������������������������������� ��������� ��������� ��������� ��������

¡¢����RS«¬�CCAPM��! L����RS«¬�ICAPM��

J CAPM¦ APT!:#�4ñòd�«¬�/È���c�� CAPM��Á

!ê��J CCAPM ý�¡¢¦M�ef��®)6����ICAPM @�)6ôL�«

¬�÷ø«¬���NO�$ôL�� Û���EF�$ôL��÷#«¬­

n��¡R�e¼�«¬�Ä�#$¹º�CCAPM ¦ ICAPM ­n½�6§

|f�CCAPM ��� L��ICAPM Û��&g¡¢÷JO�¤¥÷#«

¬�Ð�hý4ü�üý4h�P�üÈ�­���

©J 1928 ¶�Ramey�1928�W)6�� L¡¢����RS«¬��

�²��ôL«¬� ´²�)6��¡R¢£Y���%´9�¶�n�

Mossin�1968�, Samuelson�1969�¦ Merton�1969�ikj¨Îñ·N �ô

L�¡¢¦��ef÷û�@n�«¬�Ð�EF�$ôL�� � Merton

�1971��! Merton�1973�� ÁÂ�y+Ú&' Lucas�1978� , Breeden

�1979�, Cox, Ingersoll¦ Ross�1985�, �! Cox¦ Huang�1989����

1����� L¡¢����RS«¬�2OL{ôJO·N¢£Y«¬�*ý

âãefO��JO��:kX��·Nlë�»�2:O4�Xm

�hedge�JO�J�J5?\ ICAPM¦ APT�%f�Á:�XPÞÜíP�log

utility���n<=-�M�°�ÐO4b^·Nlë�»�op�myopic�1��

J��JOqr�¼�

J CCAPM ý�����Т£Y����ý��¡¢��sYPÎR�

ÛW���,��J CCAPMý�CAPMý�â㢣Y¦þ�¡¢�ßtÞÜí

P�½�Z§¨��J÷��\���,� CCAPM� CAPM��Á�´ CCAPM

��� L��÷����c�� CAPM �ê���:�t��� CCAPM

�Breeden� 1979� ��c������� ICAPM «¬� /*�ôJO�

ICAPM «¬Ü�¡¢JOS'��÷3���l�âJ�©L�«¬�2ÂÜ

�$\��u�time-separable��ÞÜíP�

¨ ICAPM «¬¿Ð4#3b���3�7ëvw�dynamic programming��

�3�xð��martingale approach��J7ëvwý�¨«¬�ð��xtn´

tÕ�ÜPQ�yÀ�z�backward induction��JNO�$«¬ý���Ä:�

����L«¬�JEF�$ý�%f�êL��U{4D� Bellman{=�0

��Bellman 0��2�Ýð �­�|4¨U¨�´��ÜP[¨ï�xð�©

Ly+õÂ� Pliska�1986�, Karatzas, Lehoczky¦ Shreve�1987�, �! Cox¦

Huang�1989��÷30ï�2ÓÂ�-âã�½���´ He¦ Pearson�1991�

*xð�0ïê�´n½�âã<5�Jxð�ý�M�°�É��p����

Page 10: Asset Pricing - A Brief Review - uni-muenchen.de · 2019-09-28 · Munich Personal RePEc Archive Asset Pricing - A Brief Review Li, Minqiang 2010 Online at MPRA Paper No. 22379, posted

9

��M�ef�S[�Ä¡¢W§Ô¥÷M�ef�}G�GÜ·NI~JK�

ST�É������®�}G�»�|�S[�ÂÜ÷µd�8�budget

constraint�0�?�ôL�M�¡¢÷û�����¨¥tu¡¢�����÷

û�variational problem��÷��÷û�¨¿ÐOÌL��ð �{=�0��

¤¥�ð ��÷0��kO Bellman0�g�ê¨�tuM�ef�Á@

�2J¨{¡¢R�¦É�nK�¾¨Î�

!!!!�������� " " " " #$#$#$#$����%&%&%&%&

�������� � � � �'()*+,'()*+,'()*+,'()*+,----Stochastic Discount Factor....����

·NI|JK���n�·N�»��/���{âã\P4���S����L«¬�Á�������·N¢£�%��_/�S�W¤A?� � ��%��{�X�ö·N¢£Y�ÄÃ�@4� � ����P4��RShi��¿ð·NI|JK�¾��ÈK\�Cochrane�2001��! Shefrin �2008� ÷#oi1¿

Q:ÂÜ·NI|JK÷3�Ã��

·NI|JK��J �ð �æ��� ��»�çZ ��À �0½

�`�JO�`<:�âã��`�'§¨����J4Z[�L��âãý�

��S�ï@ÎR·NI|JK�ð ��âã�½���Ô�XÔ·NI|JK

������½�âãýÆ4�G��Ô�XÔ·NI|JK�2�»:��

�ç�Ô·NI|JKn�����JÄ�X�J�����ê�·NI|JK�

·NI|JK�Á �nÃÄÅ��Á��JÞÜíP«¬ý�/�ßtÞÜ%

�§¨�J CCAPMý/¦¡¢�4sY%�§¨�J�3�V\�no���R

S«¬���,��J�no�·NI|JK��

����������������Hansen-Richard����/0123/0123/0123/0123

Chamberlain¦ Rothschild�1983�6z�Ù � – CAPM���c�\]^�_

$�%¦�´üÈÓÂ�3��n�ô0½���inner product��J÷3¹º

-��ö���·N¢£Y�\]^�_$ý��À»���ÜMñ

�projection���¨�ÐPÀ»o��âã·N¢£Yo���!�a½À»

�residual vector��÷��»J\]^�_$ý6§�%�÷3* CAPM ,�

��3À»��%�¨�9�J���ý­n�� �9���2�u�<:*

CAPM ¾����ð æ��J���»���Ùô0½�÷#3no�9

�:��©¥ CAPM�h¨��*ý}�39���� CAPM9ö�V�J�Â

U�ôST�U%9����ef�4ÞßÅJ\�\]^�_$ý��ú%ð�

·N�»`��\]^�_$�¿Ð��K"\­n�ô0½��� Ä��

���ü( � �) � � ��ÂÜ÷3��L²��3no�·N¢£Y��¨0?�

÷W� Hansen-Richard¢£Y�¨�Ô�J Hansen¦ Richard�1987�ý¯°ÈÚ

)6�úû>? �conditional information��J Hansen-Richard¢£Y�¨ý��

Page 11: Asset Pricing - A Brief Review - uni-muenchen.de · 2019-09-28 · Munich Personal RePEc Archive Asset Pricing - A Brief Review Li, Minqiang 2010 Online at MPRA Paper No. 22379, posted

10

���·N¢£Y��¨��o��}�o���XP4��:§o�·

N¢£Y�/¦·NI|JK�ç�}¯o��jÀ»�2�ÐPÀ»J-ë

¢£Y_$\�Mñ�}�o���a½À»�÷�o�J�������

_$ý6§�%�Hansen-Richard¢£Y�¨J¨Î�ø÷ûý CAPM�¨gh

0á�Á� Hansen¦ Richard�! Cochrane¦ Saa-Requejo�2000��¿ÐJÂÜ

Hansen-Richard ¢£Y�¨��Oo�ÂÜ Hansen-Richard ·NI|JK�¨�

Hansen-Richard ·NI|JK�¨¦ Hansen-Richard ¢£Y�¨3*%f��nð

J�¨·NI|JKý�}¯o��j�2�ÐPÀ»J-ë·NI|JK_$

\�Mñ�

����������������Hansen-Jaganathan����45454545����

X�âã�`�)6��#no�·N��¢£Y*+¦*,�!P4�1

�·NI|JK-���6z

�./��0��

�������1������

� ����

1�����

��� (3.1)

÷W�1D� Hansen-Jaganathan�1991�ßÅ���g���h¨\?�ü

È��)6�½��âã�J�âã\�JØÞß���­��!P4�1�·

NI|JK�������?J�W�âã� Sharpe JK�ÛW��.ÞßkU

´�t$æç�Hansen-Jaganathan ßÅÜ·NI|JK�{� Sharpe JK�J1

�<=-�n�R�JØÞß���·NI|JKÛn���Ü Hansen-Richard ¢

£Y�¨�!·NI|JK�¨���0á�U´<?�#ß�_���´3[�

÷�x^��:�Hansen-Richard ¢£Y�¨ÛòüÈ��%9�J\]^�_$

ý>O Hansen-Jaganathan ßÅ�9ö�V�

Hansen-Jaganathan ßÅ��t%��ØÜ�Ü�_`no���RS«¬�

(� Hansen, Heaton¦ Luttmer�1995�, �! Hansen¦ Jaganathn�1997��no

���RS«¬O�{��Y�1�·NI|JK�J�üÈ��cd Hansen-

Jaganathan ßÅ�­�¦âã� SharpeJKZ1�������{fh� Sharpe

JK�«¬ý�(PWnÖfL��çÐ[��_«¬Wn�þj��¨¥_`�

�RS«¬�ÁÂy+Ú&' Snow�1990�, Bansal¦ Viswanathan �1993�, �

! Jaganathan ¦ Wang�1996���:J�àág{�_`��RS«¬���

ÁÂ����� Euler0��

�����þ�U¢£½�n!��M�ef��_/�S�ØÔR¥

÷ef�S��÷W�Ø�GßÅ�no-arbitrage boundary��Hansen-Jaganathan

ßÅ����¨¥Ø�GßÅ���i�´J¿Ð<=-�Ø�GßÅ�Ð���

��¥n�KÜ�Cochrane ¦ Saa-Requejo�2000�)6�L�ôL��!EF�

$�;�ê�good deal�ßÅ�Jo�L�}ý�Bernardo¦ Ledoit�2000�)6

U-CY�gain-loss ratio�ßÅ�÷#ߍ¥ÌZ�*/�8úû��2:

Page 12: Asset Pricing - A Brief Review - uni-muenchen.de · 2019-09-28 · Munich Personal RePEc Archive Asset Pricing - A Brief Review Li, Minqiang 2010 Online at MPRA Paper No. 22379, posted

11

Ø�GßÅ��tµ��°Û)6�23*/�ÝØ�GßÅ�23ßÅ�2

Ìrno��8úû�J��e1���23ßÅ��>���

��������6�6�6�6�789:��789:��789:��789:��----Risk-neutral Pricing....��;<=>?@AB��;<=>?@AB��;<=>?@AB��;<=>?@AB����

Þßý RShi­n�e¼�0�®���ÈK\�ÜÂ��L� CAPM

Û��ÜÞßý RShi�¾��hi�»¼ý�õÂy+4 Cox ¦ Ross

�1976�, Harrison¦ Kreps�1979�, �! Harrison¦ Pliska�1981���:�Cox�

Ross ¦ Rubinstein�1979�)6�¯���binomial tree�LH«¬�÷���

«¬Xh¨Þßý RShi3*4Ü�1D� Black-Scholes�Black ¦ Schole,

1973�LH«¬Û��ÜÞßý RShi�¾��

JÂÜ·NI|JK�«¬ý����S��¤þ��¢£¦·NI|JK

����{��÷���J}hM��ÛW�K"  ý�M�!-�L���

#Äc�üÈ¡J}hM�-cd®�¢£�L�[� JnKÜÞßÀ�ð�I

~Y�cd|J�S��«¬�deÐÐJcdÞßÀ�ð�I~Y� J�÷

I~YXno����no��JÞßý RSý�üÈÜØÞßI~Y�Id�

ö���L�[�J�÷âJ��ö��:�p�nñ�öÞß�J�÷30ï

���Þßý RS��S�üÈnkÜ}hM��cdL�[�Ä�UÂÜÞß

ý M����,��X���ÄÃ�÷M��ÜÞßÀ�ð��M��´

K"âã\Þßý M�ÐÐ�����­�n·���Ä��÷WÂUÞßý

RS=4�$��¢ �X�ö����üÈ�Ócd/JÞßý M�-�

L�[�Jn�£÷��nñÞß�ÄÂÜØÞßGYZ1I~�x�3��\

��Þßý RSW�¤¤UX�üÈÂÜ“¤¥�”M��JnKÂÜ“¤¥�”I

~Y�÷#“¤¥”�o�ÂÜ�{çb���S��Üc����P4���S

����ÜØÞßÙ7��»�7�JÞßý M�ýW��x�martingale�

ð��

}hM�¦Þßý M��J�4%���/È�%�ç�M�°XÞß�

ë��÷#M�� Radon-Nikodym ��¤M�°�ßtÞÜíPÎR����

»«°n¨�ßtÞÜíP� ²��%�¦-Þßý M��JnJ÷M�-

cd���S��÷30ï��§ÂÜ�¨*�J��� }RS0Ç��:��

��°4j����!»¼J/!\�� }�S��â@\²��*M�°�

ßtÞÜíPæd{����²���©ª�n�JRSý®¯Ü�(� Pan

�2002��

Ó«À���M����measure change���3�1��b��lm÷û

�ÓÂ�4��ÂÜÞßý M�!:�M�XcdOgh0á�Á�J)6·N

GY�`«¬��PQ�¬LM��forward measure��ÐO�0á����P

4�M���j�\:�x�3cS�.���change of numeraire�����

âãýþ�ø¬Âúû���6zX�öcS�.�:�J÷_�M��J÷

M�­-��®cS�.�»�P4���S�:��x�Geman, Karoui ¦

Page 13: Asset Pricing - A Brief Review - uni-muenchen.de · 2019-09-28 · Munich Personal RePEc Archive Asset Pricing - A Brief Review Li, Minqiang 2010 Online at MPRA Paper No. 22379, posted

12

Rochet�1995��÷�iÂUÜM�����RSÝÐ�N¯��J�ØÜÝÐ

0á�=>����°°¡bRcS�.� Jn�U/PÌ®�M����t

nGÜxð��RS�deõÂJ¥±²{�0á�M��J Black-Scholehi

ý�Þßý M���c��ÂÜ��ØÞßÙ7�cS�.ÄÌ®�M����

GYLHRSý�¬LM�@�ÂÜ��¬LÙ7�cS�.ÄÌ®�M���

�(� Vasicek, 1977���:�J��LH �exchange option��cdý��ÐO

Ü�Ö×�S��¯�cS�.�(� Li, 2008��

��������C�C�C�C�DEF�G���DEF�G���DEF�G���DEF�G���HIJKHIJKHIJKHIJK----General Equilibrium....����

©L��ªhi�2:�o���partial equilibrium�hi�÷�J��2/È

:�-: ��exogenous���¢£Y·Nð��JnJ�R�M�NO�<=

-�Q¨t�ef�!¡¢���´K"\�M�°���ÎÏ�ÐOïð�ñò

��¢£Y�7ë� �J���½��«¬ÓÂo�)6M�NO¦M�ÎÏ

§6!$�ñò�÷3«¬�2��2f��«¬�Y��2Ð�«¬�ü(�

UÕ�3³ï��´'�o��hiý����Ð�Å��µ������¢

��½�·N��­n·M�°�1�Ä��2f��«¬�2OÌr �

�production����J�KS��¶��¡¢°��¿ð�·�¸¹�º�<

»ï�ñòþ��¢��÷����¢���ì�Oïð�ñò���S��Ä

÷�OZÄñò¡¢°�1��<<��

J��¶�ýL��ÁÂ�hi¼½� Cox, Ingersoll¦ Ross�1985a, 1985b�

J#Q¾¿iyýÊ{��2f��hi�}�Qiy¸Á���2hi�}¯

Qiy@#i�=>�ÁK�÷hiÛ��c��� ICAPM hi�/�t

$��J¥ØÞߢ£Y��oÎR��Cox, Ingersoll ¦ Ross �-�4�3��

o�Ü�¡¢¦M�������rsM��@4ô3ñÞß�bc�Ërs�M

�°UÎR¡¢ô|Á�����!��M�~À-������:�M�°Û

��ÁÂ�´²¬��Ã�ØÞßGY�Cox, Ingersoll ¦ Ross Ô�´Jâã�

��<=-�Á{¦Ár�»¬�§<�ÛW���ØÞßÙ7�]Ë�»�Ù�

ØÞßGYJ�W��ñKS��shadow price��¿ð÷�8úû�Cox,

Ingersoll ¦ Ross êL{�ØÞßGY���?�¿ðo��êh�÷«¬Û�

�Ü���ö�]Ë�»�Ù���RS���sLÙ7�LH�<<�/È

�S�ýþ�%f Black-Scholes hi�{=�0��J}¯Qiyý�Cox,

Ingersoll ¦ Ross )6��=>�«¬�J÷«¬ý�ØÞßGY�¨ýþ�

ItoÄOð��/�ÅÆíP�drift function�¦ Vasicekð�%f�´/�ÄO

íP�diffusion function�n�ÐP�Ä��0l5?�P�\Û�� Fellerð��

=>5?�-ü

2 � 34 � �25 " 1627� (3.2)

Page 14: Asset Pricing - A Brief Review - uni-muenchen.de · 2019-09-28 · Munich Personal RePEc Archive Asset Pricing - A Brief Review Li, Minqiang 2010 Online at MPRA Paper No. 22379, posted

13

*ý3�4�1:�ÐP�7��qÏì�Ç7�Brownian motion��[U�Ê�

����}¯Qiy��#i\�=>�ÁK�´ÈK\÷=>�ÁKØÜ3*

�§���¥(È�ÐÜ CIR «¬��È÷=>�«¬�Á��J¡R¢£%

��RS�>Ü��RS�LHRS<0Ç CIR«¬:�3*ÐÜ�«¬�CIR«

¬ÉÊË��ÁÂ�âJ���/ Vasicek «¬gK"�´o�÷«¬¦

Vasicek «¬��4¨U�ÌÆ���Ù7S��Ù7LHS��<<�J���

÷ CIR«¬��4Ü��

j¥ ��RShi!2f��hi|Jqr�� ª��0À�¨*�¨¥

/�K6�|��

��������LLLL ;<G78MNO;<G78MNO;<G78MNO;<G78MNO

J©L���RShiý��2:ÂÜ�ª��$\��u�time-separable�

� CARA Þß{;íP�Merton �©Lhij�\:ÂÜ÷íP�/�;��

¤¥5?����Ð��U´÷û�¨U¨�´�/Û4��²Í�P���

W�o�§XÞß·¸�PÎR�#no�Î/���Jo��L�X�

��nolë!$�{;����J#no�L�¡¢!$�{;�÷3�¤

��>ÏÂU CARA Þß{;íPnk�;�¨T�ôK6\����J�� 

�ÖH S!" �Mehra¦ Prescott�1985�, ØÞßGY!" �Weil, 1989��Ö

×S�Ð7!"<<��RShiýóôÑ(¢¨������RShiµ¯��

¶�0�����½�¤÷øÒÓ�¨*�ÖH S!"ê7��J��¶�jL�

�Å�1�9����RShi��½��¬�P4�÷û:��â@\Ü|4

¹º¨T¦��J� Mehra¦ Prescott����Ô¶��$i0�²È�y°�

�4�U�� Mehra¦ Prescottyóg{�23�k�¨TÖH S!"�0ï�

÷øn�:�B±�­0�®��ÖH S!"sL���RShi�ý�úû�

´÷�x^�

J23��¨TÖH S!"�0ïý�4�30ï�'Õ CARA Þß{;

íPýnolë!$�{;¦no�L�¡¢!$�{;�%���°Ê{�ô

3ê� CARAÞß{;íP�»ï�÷�����*ý�4ñò��30?�

}�3�PQ��Jèé�internal habit�«¬���y+� Constantinides

�1990��J÷3«¬ý�M�°�Þß{;íPnX�ÔÕ�¡¢4¨�Ä�Û

�ð�PK|�¡¢R�4¨�Ferson ¦ Constantinides�1991�0|�Jèé«

¬�K6�|­n��§{X�

}¯3ê��PQ�:Jèé�external habit�«¬���y+� Campbell

¦ Cochrane�1999, 2000��J÷%«¬ý�M�°�Þß{;íP��:J�

èéÎ�§¨�5Ö��W�M�°nX¨����¡¢�Û¨�×Ø�¡¢�

¿Ù����Ú\ÛÜI9�catching up with the Joneses���÷«¬��§�

Ü��GÊ{�«¬�

Page 15: Asset Pricing - A Brief Review - uni-muenchen.de · 2019-09-28 · Munich Personal RePEc Archive Asset Pricing - A Brief Review Li, Minqiang 2010 Online at MPRA Paper No. 22379, posted

14

}�3 CARA�ê��Ý���recursive�Þß{;íP���y+4 Kreps

¦ Porteus�1978��Weil�1989�1990��Epstein ¦ Zin�1989�1991���!

Duffie ¦ Epstein�1992��Á�J Epstein ¦ Zin�1991�ý�ÞÜíP��-�ü

85 � 9:5� ;<85=�>�� (3.3)

*ý:5�ÔÕ�¡¢�;<85=�>�n��LÞÜíP85=���? �úûL��ü

;<85=�> � �85=�? ��@?�� (3.4)

9��Þ�K�aggregator��5?�-ü

9:5� �� � <� � ��:A " ��A>�@A� (3.5)

��? � A�üÈWæ´�¿Ð�ÞÜíP��2<=-÷#(P�¾¼��÷3ê�íß� CARA �;��J�«¬�Ðqr4¨U¨�´/o�%�'Õ�

CARAýnolë!$�{;¦no�L�¡¢!$�{;�%��÷#3no�

{;|J�#¾¼�(P�¾��J$»�y+ý�ÂÜÝ�Þß{;íP��

9��>À�rs��Pennacchi�2008�¦ Skiadas�2009�#�<:B±���

Ý�Þß{;íP�*ýn°ghhi��ø�

÷�3Þß{;íP5?��-�no��/ÈX��RS��iÛ:no�

÷�Z¥Qà�nK­g=>����4yz�'°��()\�y+�

PPPP�������� Q"Q"Q"Q"RSRSRSRSGGGGTUTUTUTU

���¶������RS÷�j�\�á¸\��ªhi�$¹ºÄ

nÕ0���¤¥÷âJ��ô�°,�÷��$ýÆ4�§$�hi¼½�

Duffie �2001�J²<ý�åÃ�÷�¦âü�X�J��¶�ýLã*{��

(���ä�¶����RShi�å���…. x 1979¶�n���§��Á�

j�\W�ææ�çÄ���J Campbell �2000�¶�2�ý�Campbell ��n

½�èo�²,�üÈX÷���h¨Ú¬®�´½é�Ä�4�ôÁ¦4z

�úûÚ4�¨Î�

¤¥ Campbell�2000�÷Q2�B±���x 1979 ¶´ 1999 ¶�����

üJ-Ç���õÂêýJëì¶!n�÷�¶�üj�\�èo Campbell �

�������ð��¶����ÝÐíî��¶�´�üÛo� Duffie�1992�

¨¥$¹º��j��¬�9��÷W�ï¸Jð��¶�hi0�ý��°�

ÐêýÔ�dJ�ø�=>�Gúû\�Ä�÷øúû�Ð�¤Pmê7®���

¤¥�e*P4�úû��B±����-�ürs�øü(,��ÁÂY4

z�úû�h�#i�÷øúû­n�e¼��Ä�4����J%��¤¥y+

Page 16: Asset Pricing - A Brief Review - uni-muenchen.de · 2019-09-28 · Munich Personal RePEc Archive Asset Pricing - A Brief Review Li, Minqiang 2010 Online at MPRA Paper No. 22379, posted

15

P»3$�ü�2����øtµ�y°�X÷øúûxyzÄ\�µ�Ä�¨�

'°��ð²�-�#iy+�yó�ñÌ�

VVVV���� WX��WX��WX��WX������

è髬J}�~ý@4ò���Jèé¦:Jè髬242����p

ÕÚnkbRWg�� ´�k���:Jè髬ØÜUg�§ø�J�Jè

髬ý�-ë¡¢�RV�K"¡¢¦��JèéÎ��½�ÞÜíP�óô

��-ë¡¢�íP�÷óôL² Hansen-Jaganthn ßŦ-ë¡¢JK"¡¢

ý�ÁZ§¨�xÄ���¨TK"ý�ð$�ÖH S�:Jèé��i¦�

Jè髬%f�´-ë¡¢J÷��K"¡¢¦�:JèéÎ��½�¨¥�

Jèé¦:Jèé��G��4 Otrok�Ravikumar¦ Whiteman�2002���!

Grishchenko�2010��

tj��è髬�Ð�Ü�»¼gª«�«¬�Á� Menzly�Santos ¦

Veronesi �2004�Ü/�»¼��4ô���2f���general equilibrium�

«¬�J®«¬ý�M�°�Þß{;¦}G�µL4sY:�·�$Ä����

���Þß{;L²}GæçY¦���µL¢£Y秨÷qÏ���´��

��}GµL4sYõL²÷¯°Z§¨�¤¥#ÞØ6§ö¡�Ü}GæçY

�µMµL¢£Y�kd�÷P��÷¦K"Pm§Ö��:�*/H!è髬

�tGy+Ú4 Lynch¦ Randall�2009��! Bansal�Kiku¦ Yaron�2009��

VVVV������������78GYZ[:78GYZ[:78GYZ[:78GYZ[:----Temporal Pricing of Risk....������������

J�K"«¬ý�·NI|JK¬�kjçb�Xô3��o�Z1RS�

&'�LØÞßGY�sLØÞßGY��!23ÞßGY�23JK"âã\9

ø´�PmJ�X·NI|JK��`Ê{�����ÂQ�Á� Hansen-

Jaganathan ßÅ��c��÷øÂQ����JK"9M�Pmý�Sharpe Y

���J�üÈÓ·NI|JK�7à��$�J�2��ý�¨*�K6

��ù��¨¥sL ����ý��°�Ð�¸1¥�L¢£Y�J�

²È�æúJoL�¢£Y¦Þß!$4�_¨�÷_�÷û��J�JsL�

¢£Y¦Þß!$4�_¨�ÛØÔ���ÁÂ�÷û�

��kjo�`Sno����Alvarez ¦ Jermann�2005�*·NI|JK

�¨�#�»����}��»��ûü �»���x�}¯�»�

�oý �»�no�»J`Sno���®´no�¯Ü�Á�ûü �»X

`S%fÖ×<sL ��\�ÁÂ�ÂÜ÷�¨!n�� Hansen-

Jaganathan ßÅg±²�÷ûW����üÈÜg=9�Pm����üÈ)6

sLØÞßGY�üÈX·NI|JKØÔÊ{�_��ÂQ;÷øÂQ�4Ü!

����Ü�_`��RS«¬�nýþ÷øÂQ�«¬WnkÜ�¾�K"Pm�

Page 17: Asset Pricing - A Brief Review - uni-muenchen.de · 2019-09-28 · Munich Personal RePEc Archive Asset Pricing - A Brief Review Li, Minqiang 2010 Online at MPRA Paper No. 22379, posted

16

Alvarez ¦ Jermann�2005��tõÂ��ç�êL{�·NI|JK�ûü

�»��7 �-Z�÷-Z�j¥sLsLØÞßGY�oLØÞßGY�

�!*/ñÞß��¢£Y!\��²ÈÛêL�Xoý �»����²È0|�

ûü �»�7à��$�Ä�Û¬oý �»ÁÂ��:�Alvarez ¦

Jermann�2005�Û��·NI|JK2�»�7Y¦¡¢��7Y!$�¨��

)6Þß��$� ��G���ô�Á��Hansen, Heaton¦ Li�2008�

¿ð»¼�XP𠫬��JsL\¢£Y¦Þß!$�¨��Koijen,

Nijman¦ Werker�2009��� ÍþLM�°�life cycle investor�knkx

�7�Ù7-뢣Yý££�Hansen ¦ Scheinkman�2009�@ÜdÖhi�¨

U��JÝð EF�$ Markov «¬ýJsL\¢£Y¦Þß!$�¨��

Pastor ¦ Stambaugh�2009�@g{��J c\sLÖ×¢£YÐ7�¼�´x

M�°�Þß{;�\�{0�sLÖ×¢£Y�ÞßK"\g��

V��V��V��V�� \ 78\ 78\ 78\ 78----Long-Run Risk....��������

¨¥sLÞß«¬�!è髬!$��i���4z�úû�Bansal

¦ Yaron�2004�»¼��sLÞß«¬�J÷«¬ý�¡¢¦}G�4sY

&g�sL��µM�o���!�·NÐ7�nbR ��¡¢�Ð[¦0

½��ü Ð7Ì®Ö×S��Ð7�ÂÜ Epstein ¦ Zin�1991��Ý�{;í

P�Bansal¦ Yaron0|²È�«¬J¿Ð�Þß{;�P[�<=-Wkj¨T

-뢣Y�ØÞßGY�â㢣Y�Ð7��!S�¦}G�Y�J Bansal�

Kiku¦ Yaron�2007�ý�¯°ÈZ�Ä_`sLÞß«¬�GÜ Euler0��¯

°È0|sLÞß«¬kj¨T Fama¦ French�1996��JO«¬ý�â㢣

Y�Ö×$¼|å�¢£Y��!â][|å�¢£Y�

´��Beeler ¦ Campbell�2009�ÁG�p� Bansal ¦ Yaron�2004��s

LÞß«¬�­0|«¬4�øK6\�de�°¡�sLÞß«¬�ï¸sL¡

¢¦}G4sYØÔ����ü ��­���ÜÖ×S�µM�÷¦ÈK§ï�

«¬Ûnk¨T��_KGY�Ð7Æ4� ¡¢4sY��µM �tn�sL

Þß«¬OL{¨¥¿+��¨%Ù7�ðR�æçY�

��� Bansal ¦ Yaron�2004����ÁÂ�hi0��/o�X¡¢

4sY�!Ð7YÌr��ü �7�o�ÛX�¡¢¦�}G¯��ÖfK"

�³��´ Beeler ¦ Campbell�2009�g{�÷øde�zsLÞß«¬ÛóÚ

4�ôZ¦óç�

VVVV����VVVV����]^78]^78]^78]^78----Disaster Risk....������������

J�eÞß«¬ý��°Ìr��eJO�¤¥÷JO��J�M�

°ÂQg��æç��4ñò�y+4 Rietz�1988�¦ Barro�2006��tµ�

Gabaix�2010��Xhi¯�Z�Ä�0��J Gabaix ý�J4�e�����

Page 18: Asset Pricing - A Brief Review - uni-muenchen.de · 2019-09-28 · Munich Personal RePEc Archive Asset Pricing - A Brief Review Li, Minqiang 2010 Online at MPRA Paper No. 22379, posted

17

j�S[-��÷�Ì®-뢣Y��$Ð7�xÄ� ¢£Y��µM �

Gabaix ÂÜ��G�ð � ð��linear generating process�b��»¼«

¬�ÂU«¬4¨U¨�J��á¥�U�¯°0|÷«¬kj¨T�89�

��ý�"� &'ÖH S!", ØÞßGY!"�Ö×S�Ð7!"� �!*/

¨¥Ù7¦LH�"�

�J���÷ø�i:�çb�7��_÷«¬À»¼�X55XX�

K6ý�n¨!":�1� �hi {��$Ä�´pÕJ Gabaix�2010�

��ý�X÷ø"�½¨��J�¨¥«¬X2���%fRSÚÓ­

g�

¨¥�eÞß«¬�tG�Ú4 Gourio�2010��Wachter�2009���!

Farhi¦ Gabaix�2009�<�÷�nK��ò��

VVVV����6666����_`abc_`abc_`abc_`abc----Imperfect Market....����������������������������

ݽ�âã���RShiý���$��0À�/&g�óóôô�

Kúû�&'n��O�7¢r�non-diversifiable labor income�Þß�>?nX

� � information asymmetry�� ~��heterogeneous�M�°�4Z(�

�limited participation��4Z¹¤�limited commitment��4Z�G�limited

arbitrage��4ZÔ��� limited attention��ÝÙ�ê¢Ü��7 Þß

�liquidity risk��«¬Þß�model risk�<<��R�ݽ�â㫬�2êý

#i�Kúû�¤¥Ý½�âãPHÇ3��÷��Xn��O�7¢rÞߦ

4Z(�#Kúû¯�������

Mankiw�1986�)6��ݽ�â㫬�J÷«¬ý�·N��7J

OJÈÕñòP4�M�°�´Èn�ñò|P�(�÷WÂU�°nkxfc

�Pm�êdÞß·¸�P�÷«¬¦/�23ôZ��Ü��n��O�7

¢rÞß�Constantinides ¦ Duffie�1996���G��� Storeletten, Telmer

¦ Yaron �2004��! Krueger¦ Lustig�2009��*ý Krueger¦ Lustig�2009�

��_ãf-�ݽ�âãX��RS4ñò��_ãf-�Æ4ñò� ��

Q����iy�

Guvenen�2009���Q[U�'�¨¥4Z(���y+�Guvenen �{

0��è髬��-�e¥���J� Guvenen \�íß���ÞÜíP�

´Ìr4Z(�¦ ~�M�°�=>���Jâãý4#%(��%�Öâ(�

°��%@n(��²È=4no� L� �P�Guvenen 0|�ÜÂ�RÞß

�P� 2�²�«¬Ûk¨TP4è髬ýPk¨T�K6|Ö�y°Z�Ĩ

T���_4Z(�«¬¦è髬�{�%f����­�g{4Z(�«¬�

{ghfh�89�����¨¥4Z(�¦4Z¹¤��G��&' Lustig

¦ van Nieuwerburgh �2005��! Chien�Cole¦ Lustig�2009��

Page 19: Asset Pricing - A Brief Review - uni-muenchen.de · 2019-09-28 · Munich Personal RePEc Archive Asset Pricing - A Brief Review Li, Minqiang 2010 Online at MPRA Paper No. 22379, posted

18

dddd�������� efefefef

�y°¡�����RS!M�ef��ªhi�/È&'����RS«

¬��GRShi�¡¢����RS«¬�! L����RS«¬� @nü

���*²�øµL�ÁÂST!hi�tn�ü���µL�¶���7À!

���&'è髬��eÞß«¬�sLÞß«¬�ݽ�â㫬<<�

J�8�y!Õ�üX��RS÷��ÊË�ø(�cï�°¡�¤¥

hi¹ºj�:�b¼�÷��§X����J��e4�$�¼½�Zr÷

�°¡UX�4�hi4���h¨��­�ÓÂ�°4��K�Ph�

­�÷ø&'SYi�K�U�{=�0��M�i�·Nð��<<�*Õ��

�hi¹º��b¼�´üÈ­®²´�k�½��¨T��Pm�å�«¬�

%fÖH S!%��ô"Ú<¸�°�W­¨Î��J�s�$�qO�

 ª���þ�%�hi¦K6!$���:�1����Û�� ª�0À�

Ûó��,��²´�k½��¨TP4��Pm�å�«¬�n�k��J��

J�s���þ���°ÛóØÔýþ¥k²´Xno<5-kjݯ�no«

¬�KÕ�·¸âã�0��G����nÕê{�Á�0½LH�variance

option�� ÍþLj��life cycle fund��>Ü��<<���PmÛ¢�¢ô

���8"��!=9����Y���~»�8"PmÛ¢�¢1��÷ø:�

�°ÊË�G��XÖ�tn�tµ����NÛ�Â(ÈÁG�p���J

�p���!��RSý�M�°�h�!89��èÏJO�*� ���RS

hi¦1�������èÏ��8"��<*/§¨��4N�f®�Û��

�4\���0À�

ghijghijghijghijkkkk

Alvarez, F., & Jermann, U. (2005). Using asset prices to measure the persistence in the

marginal utility of wealth. Econometrica, 73 (6), 1977-2016.

Bansal, R., & Viswanathan, S. (1993). No arbitrage and arbitrage pricing: A new

approach. Journal of Finance, 48(4), 1231-1262.

Bansal, R., Kiku, D., & Yaron, A. (2007). Risks for the long run: Estimation and

inference. Working Paper, Duke University.

Bansal, R., Kiku, D., & Yaron, A. (2009). An empirical evaluation of the long-run risks

model for asset prices. Working Paper, Duke University and the Wharton School.

Bansal, R., & Yaron, A. (2004). Risks for the long run: A potential resolution of asset

prizing puzzles. Journal of Finance, 59, 1481-1509.

Page 20: Asset Pricing - A Brief Review - uni-muenchen.de · 2019-09-28 · Munich Personal RePEc Archive Asset Pricing - A Brief Review Li, Minqiang 2010 Online at MPRA Paper No. 22379, posted

19

Barro, R. (2006). Rare disasters and asset markets in the twentieth century. Quarterly

Journal of Economics, 121, 823-866.

Beeler, J., & Campbell, J. Y. (2009). The long-run risks model and aggregate asset prices:

An empirical assessment. Working Paper, Harvard University.

Bernardo A. E., & Ledoit, O. (2000). Gain, loss, and asset pricing. Journal of Political

Economy, 108(1), 144-172.

Björk, T. (2009). Arbitrage Theory in Continuous Time. Oxford University Press.

Black, F. (1972). Capital market equilibrium with restricted borrowing. Journal of

Business, 45, 444-455.

Black, F., & Litterman, R. (1992). Global portfolio optimization. Financial Analysts

Journal, 48, 28-43.

Black, F., & Scholes, M. (1973). The pricing of options and corporate liabilities. Journal

of Political Economy, 81, 637-659.

Breeden, D. T. (1979). An intertemporal asset pricing model with stochastic consumption

and investment opportunities. Journal of Financial Economics, 7, 265-296.

Campbell, J. Y. (2000). Asset pricing at the millennium. Journal of Finance, 55, 1515-

1567.

Campbell, J. Y., & Cochrane, J. H. (1999). By force of habit: A consumption based

explanation of aggregate stock market behavior. Journal of Political Economy,

107(2), 205-251.

Campbell, J. Y., & Cochrane, J. H. (2000). Explaining the poor performance of

consumption-based asset pricing models. Journal of Finance, 55, 2863-2879.

Chamberlain, G. (1983). Funds, factors and diversification in arbitrage pricing models,

Econometrica, 51, 1305-1323.

Chamberlain, G., & Rothschild, M. (1983). Arbitrage, factor structure, and mean-

variance analysis on large asset markets. Econometrica, 51(5), 1281-1304.

Chien, Y., Cole, H., & Lustig, H. (2009). Macro implications of household finance.

Working Paper, UCLA.

Cochrane, J. (2001). Asset Pricing. Princeton University Press, Princeton, NJ.

Cochrane, J. (2005). Financial markets and the real economy. Foundations and Trends in

Finance, 1, 1-101.

Page 21: Asset Pricing - A Brief Review - uni-muenchen.de · 2019-09-28 · Munich Personal RePEc Archive Asset Pricing - A Brief Review Li, Minqiang 2010 Online at MPRA Paper No. 22379, posted

20

Cochrane, J. H., & Saa-Requejo, J. (2000). Beyond arbitrage: Good-deal asset price

bounds in incomplete markets. Journal of Political Economy, 108(1), 79-119.

Connor, G. (1984). A unified beta pricing theory. Journal of Economic Theory, 34, 13–31.

Constantinides, G. M. (1990). Habit formation: A resolution of the equity premium

puzzle. Journal of Political Economy, 98(3), 519-543.

Constantinides, G. M., & Duffie, D. (1996). Asset pricing with heterogeneous consumers.

Journal of Political Economy, 104, 219-240.

Cox, J. C., & Huang, C.-F. (1989). Optimal consumption and portfolio policies when

asset prices follow a diffusion process. Journal of Economic Theory, 49, 33-83.

Cox, J. C., Ingersoll, J. E., & Ross, S. A. (1985a). An intertemporal general equilibrium

model of asset prices. Econometrica, 53, 363-384.

Cox, J. C., Ingersoll, J. E., & Ross, S. A. (1985b). A theory of the term structure of

interest rates. Econometrica, 53, 385-408.

Cox, J., & Ross, S. A. (1976). The valuation of options for alternative stochastic

processes. Journal of Financial Economics, 3, 145-166.

Cox, J., Ross, S. A., & Rubinstein, M. (1979). Option pricing: A simplified approach.

Journal of Financial Economics, 7, 229-263.

Duffie, D. (2001). Dynamic Asset Pricing Theory. Princeton University Press.

Duffie, D., & Epstein, L. (1992). Asset Pricing with Stochastic Differential Utility.

Review of Financial Studies, 5, 411-436.

Epstein, L., & Zin, S. (1989). Substitution, risk aversion, and the temporal behavior of

consumption and asset returns: A theoretical framework. Econometrica, 57, 937-

969.

Epstein, L., & Zin, S. (1991). Substitution, risk aversion, and the temporal behavior of

consumption and asset returns: An empirical investigation. Journal of Political

Economy, 99, 263-286.

Fama, E. F., & French, K. R. (1996). Multifactor explanations of asset pricing anomalies.

Journal of Finance, 51, 55-84.

Farhi, E., & Gabaix, X. (2009). Rare disasters and exchange rates. Working Paper,

Harvard University and New York University.

Page 22: Asset Pricing - A Brief Review - uni-muenchen.de · 2019-09-28 · Munich Personal RePEc Archive Asset Pricing - A Brief Review Li, Minqiang 2010 Online at MPRA Paper No. 22379, posted

21

Ferson, W. E., & Constantinides, G. M. (1991). Habit persistence and durability in

aggregate consumption: Empirical tests. Journal of Financial Economics, 29,

199-240.

Gabaix, X. (2010). Variable rare disasters: An exactly solved framework for ten puzzles

in macro finance. Working Paper, NYU Stern.

Geman, H., El Karoui, N., & Rochet, J.-C. (1995). Changes of numeraires, changes of

probability measures and pricing of options. Journal of Applied Probability, 32,

443–458.

Gourio, F. (2010). Disaster risk and business cycles. Working Paper, Boston University.

Grishchenko, O. V. (2010). Internal vs. external habit formation: The relative importance

for asset pricing. Journal of Economics and Business, 62(3), 176-194.

Guvenen, M. F. (2009). A parsimonious macroeconomic model for asset pricing: Habit

formation or cross-sectional heterogeneity? Econometrica, forthcoming.

Hansen, L. P., Heaton, J., & Luttmer, E. (1995). Econometric evaluation of asset pricing

models. Review of Financial Studies, 8, 237-274.

Hansen, L. P., Heaton, J. C., & Li, N. (2008). Consumption strikes back? Measuring

long-run risk. Journal of Political Economy, 116(2), 260-301.

Hansen, L. P., & Jagannathan, R. (1991). Implications of security market data for models

of dynamic economies. Journal of Political Economy, 99(2), 225-262.

Hansen, L. P., & Jagannathan, R. (1997). Assessing specification errors in stochastic

discount factor models. Journal of Finance, 52, 557-590.

Hansen, L. P., & Richard, S. F. (1987). The role of conditioning information in deducing

testable restrictions implied by dynamic asset pricing models. Econometrica,

55(3), 587-613.

Hansen, L. P., & Scheinkman, J. (2009). Long-term risk: An operator approach.

Econometrica, 77 (1), 177-234.

Harrison, J. M., & Kreps, D. M. (1979). Martingales and arbitrage in multiperiod

securities markets. Journal of Economic Theory, 20, 381-408.

Harrison, J. M., & Pliska, S. (1981). Martingales and stochastic integrals and in theory of

continuous trading. Stochastic Processes and their Applications, 11, 215-260.

Huang, C., & Litzenberger, R. (1988). Foundations for Financial Economics. Elsevier

Science Publishers (North-Holland), New York.

Page 23: Asset Pricing - A Brief Review - uni-muenchen.de · 2019-09-28 · Munich Personal RePEc Archive Asset Pricing - A Brief Review Li, Minqiang 2010 Online at MPRA Paper No. 22379, posted

22

Huberman, G. (1982). A simple approach to arbitrage pricing theory. Journal of

Economic Theory, 28, 183–191.

He, H., & Pearson, N. D. (1991). Consumption and portfolio policies with incomplete

markets and short-sale constraints: The infinite dimensional case. Journal of

Economic Theory, 54, 259-304.

Ingersoll, J. (1984). Some results in the theory of arbitrage pricing. Journal of Finance,

39, 1021–1039.

Ingersoll, J. (1987). Theory of Financial Decision Making. Rowman & Littlefield,

Totowa, NJ.

Jaganathan, R., & Wang, Z. (1996). The conditional CAPM and the cross-section of

expected returns. Journal of Finance, 51(1), 3-53.

Karatzas, I., Lehoczky, J., & Shreve, S. E. (1987). Optimal portfolio and consumption

decisions for a "small investor" on a finite horizon. SIAM Journal of Control and

Optimization, 25, 1557-1586.

Koijen, R. S. J., Nijman, T. E., & Werker, B. J. M. (2009). When can life-cycle investors

benefit from time-varying bond risk premia? Working Paper, Tilburg University.

King, B. F. (1966). Market and industry factors in stock price behavior, Journal of

Business, 39(1), 139–190.

Kreps, D., & Porteus, E. (1978). Temporal resolution of uncertainty and dynamic choice

theory. Econometrica, 46, 185-200.

Krueger, D., & Lustig, H. (2009). When is market incompleteness irrelevant for the price

of aggregate risk? Journal of Economic Theory, forthcoming.

LeRoy, S. F., & Werner, J. (2001). Principles of Financial Economics. Cambridge

University Press, Cambridge, UK.

Li, M. (2008). The impact of nonnormality on exchange options. Journal of Futures

Markets, 28(9), 845-870.

Lintner, J. (1965). The valuation of risky assets and the selection of risky investments in

stock portfolios and capital budgets. Review of Economics and Statistics, 47, 13-

37.

Lucas, Jr., R. E. (1978). Asset Prices in an Exchange Economy. Econometrica, 46, 1429-

1445.

Page 24: Asset Pricing - A Brief Review - uni-muenchen.de · 2019-09-28 · Munich Personal RePEc Archive Asset Pricing - A Brief Review Li, Minqiang 2010 Online at MPRA Paper No. 22379, posted

23

Lustig, H., & van Nieuwerburgh, S. (2005). Housing collateral, consumption insurance

and risk premia: An empirical perspective. Journal of Finance, 60(3), 1167-1219.

Lynch, A. W., & Randall, O. (2009). Why habit may be less persistent than you think.

Working Paper, NYU Stern School of Business.

MacKinlay, A. C. (1995). Multifactor models do not explain deviations from the CAPM.

Journal of Financial Economics, 38, 3-28.

Mankiw, G. N. (1986). The equity premium and the concentration of aggregate shocks.

Journal of Financial Economics, 17, 211-219.

Markowitz, H. (1952). Portfolio selection. Journal of Finance, 7(1), 77-91.

Mehra, R., & Prescott, E. (1985). The equity premium: A puzzle. Journal of Monetary

Economics, 15, 145-161.

Mehra, R., & Prescott, E. C. (2003). The equity premium in retrospect. In Constantinides,

G. M., Harris, M., Stulz, R. (Ed.), Handbook of the Economics of Finance (pp.

888-936). Elsevier.

Menzly, L., Santos, T., & Veronesi, P. (2004). Understanding predictability. Journal of

Political Economy, 112(1), 1-47.

Merton, R. C. (1969). Lifetime portfolio selection under uncertainty: The continuous-

time case. Review of Economics and Statistics, 51(3), 247-257.

Merton, R. C. (1971). Optimum consumption and portfolio rules in a continuous-time

model. Journal of Economic Theory, 3(4), 373-413.

Merton, R. C. (1973). An intertemporal capital asset pricing model. Econometrica, 41(5),

867-887.

Mossin, J. (1966). Equilibrium in a capital asset market. Econometrica, 34, 768-783.

Mossin, J. (1968). Optimal multiperiod portfolio policies. Journal of Business, 41(2),

215-229.

Otrok, C., Ravikumar, B., & Whiteman, C. H. (2002). Habit formation: a resolution of

the equity premium puzzle? Journal of Monetary Economics, 49(6), 1261-1288.

Pan, J. (2002). The jump-risk premia implicit in options: Evidence from an integrated

time-series study. Journal of Financial Economics, 63, 3-50.

Pastor, L., & Stambaugh, R. F. (2009). Are stocks really less volatile in the long run?

Working Paper, University of Chicago.

Page 25: Asset Pricing - A Brief Review - uni-muenchen.de · 2019-09-28 · Munich Personal RePEc Archive Asset Pricing - A Brief Review Li, Minqiang 2010 Online at MPRA Paper No. 22379, posted

24

Pennacchi, G. (2008). Theory of Asset Pricing. Pearson Education, Inc.

Pliska, S. (1986). A stochastic calculus model of continuous trading: Optimal portfolios.

Mathematics of Operations Research, 11, 371-382.

Ramsey, F. P. (1928). A mathematical theory of saving. The Economic Journal, 38(4),

543-559.

Rietz, T. (1988). The equity risk premium: A solution. Journal of Monetary Economics,

22, 117-131.

Ross, S. A. (1976). The arbitrage theory of capital asset pricing. Journal of Economic

Theory, 13, 341–360.

Samuelson, P. A. (1969). Lifetime portfolio selection by dynamic stochastic

programming. Review of Economics and Statistics, 51(3), 239-246.

Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under

conditions of risk. Journal of Finance, 19(3), 425-442.

Shefrin, H. (2008). A Behavioral Approach to Asset Pricing. Academic Press.

Shreve, S. E. (2004). Stochastic Calculus for Finance II: Continuous-Time Models.

Springer.

Skidias, C. (2009). Asset Pricing Theory. Princeton University Press.

Snow, K. N., (1990). Diagnosing asset pricing models using the distribution of asset

returns. Journal of Finance, 46(3), 955-983.

Storesletten, K., Telmer, C. & Yaron, A. (2004). Cyclical dynamics of idiosyncratic labor

market risk. Journal of Political Economy, 112, 695-717.

Treynor, J. L, & Black, F. (1973). How to use security analysis to improve portfolio

selection. Journal of Business, 46(1), 66-86.

Vasicek, O. A. (1977). An equilibrium characterization of the term structure. Journal of

Financial Economics, 5(2), 177-188.

Wachter, J. (2009). Can time-varying risk of rare disasters explain aggregate stock

market volatility? Working Paper, University of Pennsylvania.

Weil, P. (1989). The equity premium puzzle and the risk-free rate puzzle. Journal of

Monetary Economics, 24, 401-421.

Page 26: Asset Pricing - A Brief Review - uni-muenchen.de · 2019-09-28 · Munich Personal RePEc Archive Asset Pricing - A Brief Review Li, Minqiang 2010 Online at MPRA Paper No. 22379, posted

25

Weil, P. (1990). Nonexpected utility in Macroeconomics. Quarterly Journal of

Economics, 105(1), 29-42.