| 基于鞅和熵原理的资本资产定价方法 |
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| 引用本文： | 秦学志,应益荣. 基于鞅和熵原理的资本资产定价方法[J]. 系统管理学报, 2004, 13(5): 460-462 |
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| 作者姓名： | 秦学志 应益荣 |
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| 作者单位： | 1. 大连理工大学,管理学院,金融工程与管理研究中心,大连,116024
2. 上海大学,国际工商与管理学院,上海,201800 |
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| 基金项目： | 国家自然科学基金资助项目(70273020) |
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| 摘 要： | 采用鞅测度理论和信息论中的极大熵原理、交叉熵原理,研究了有限(状态)证券市场上等价鞅测度不惟一时资产的定价问题,在某些可能性最大的意义下,给出了两种确定资产惟一价格的方法。
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| 关 键 词： | 鞅 有限(状态)证券市场 熵 定价 |
| 文章编号： | 1005-2542(2004)05-0460-03 |
| 修稿时间： | 2003-12-19 |
Asset Pricing Method Based on Martingale and Entropy Theories |
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| QIN Xue-zhi,YING Yi-rong. Asset Pricing Method Based on Martingale and Entropy Theories[J]. Systems Engineering Theory·Methodology·Applications, 2004, 13(5): 460-462 |
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| Authors: | QIN Xue-zhi YING Yi-rong |
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| Affiliation: | QIN Xue-zhi~1,YING Yi-rong~2 |
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| Abstract: | By applying martingale measure theory, maximum entropy and cross-entropy principles, we study the asset pricing problem when the equivalent martingale measures are not unique in the finite (state) security market, and we present two kinds of methods to obtain the unique price of the asset under some conditions, which characterize the case most possibly to appear according to information theory. |
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| Keywords: | martingale finite (state) security market entropy pricing |
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