| 具有方差持续性的套利定价模型研究 |
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| 引用本文： | 李汉东,张世英. 具有方差持续性的套利定价模型研究[J]. 系统工程理论与实践, 2002, 22(6): 39-44. DOI: 10.12011/1000-6788(2002)6-39 |
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| 作者姓名： | 李汉东 张世英 |
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| 作者单位： | (1)北京师范大学系统科学系;(2)天津大学管理学院 |
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| 摘 要： | 在介绍有关方差持续性和协同持续性概念的基础上 ,首次将有关的概念应用于以套利定价理论为背景的多因子动态模型的二阶矩的结构分析 ,并讨论了动态因子存在持续性和协同持续性时对组合资产风险率和收益的影响 ,得到了一些有益的新结论 .
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| 关 键 词： | 多因子模型 因子GARCH模型 持续性 协同持续性 |
| 文章编号： | 1000-6788(2002)06-0039-06 |
| 修稿时间： | 2000-12-11 |
Research on Arbitrage Pricing Model Having Persistence in Variance |
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| LI Han-dong+,ZHANG Shi-ying+. Research on Arbitrage Pricing Model Having Persistence in Variance[J]. Systems Engineering —Theory & Practice, 2002, 22(6): 39-44. DOI: 10.12011/1000-6788(2002)6-39 |
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| Authors: | LI Han-dong+ ZHANG Shi-ying+ |
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| Affiliation: | (1)Department of System Science,Beijing Normal University;(2)Management School,Tianjin University |
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| Abstract: | This paper, based on the conceptions of persistence and common persistence, analyzes the properties of the second moments of the multi-dynamic factor model in the context of Arbitrage Pricing Theory. Moreover, the paper discusses the changes of risk premium and return when the dynamic factors show persistence and co-persistence in variance. In the end of the paper, some new conclusions are given. |
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| Keywords: | multi-factor model factor-GARCH model persistence co-persistence |
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