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资本资产定价模型(CAPM)的一个简单证明及对该模型理论基础的思考
引用本文:陈奇斌.资本资产定价模型(CAPM)的一个简单证明及对该模型理论基础的思考[J].华南师范大学学报(自然科学版),2006,0(2):50-55.
作者姓名:陈奇斌
作者单位:华南师范大学数学科学学院,广东广州,510631
摘    要:资本资产定价模型(CAPM)以市场均衡为出发点,证明在均衡状态下证券的期望收益率与其系统风险因子的线性关系,而不是在给定预期状态和投资者风险偏好状态下计算证券的价格,市场均衡的存在性和唯一性并未得到充分的说明.鉴于此,有必要从计算证券价格这一更直接的角度给出这一模型的一个较简单的证明,并探讨为了得到均衡的唯一存在性所需要的条件,从而可以重新审视CAPM的理论基础.

关 键 词:资本资产定价模型  资本市场均衡  证券价格
文章编号:1000-5463(2006)02-0050-06
收稿时间:2005-11-16
修稿时间:2005年11月16

A BRIEF PROOF TO THE CAPITAL ASSETS PRICING MODEL (CAPM ) AND RETHINK OF ITS THEORETICAL FOUNDATION
Chen Qi-bin.A BRIEF PROOF TO THE CAPITAL ASSETS PRICING MODEL (CAPM ) AND RETHINK OF ITS THEORETICAL FOUNDATION[J].Journal of South China Normal University(Natural Science Edition),2006,0(2):50-55.
Authors:Chen Qi-bin
Institution:School of Mathematical Sciences, South China Normal University,Guangzhou 510631 ,China
Abstract:CAPM is one of the fundamental models of modern financial economics.This model proved the linear relation between the expectation earning ratio of the securities and its systematic risk factors under the market equilibrium,but not calculated the price of the securities according to the giving expectation and investors' risk partiality definitely,therefore the existence and uniqueness of market equilibrium have not been explained sufficiently.Thus,it is necessary to provide a direct identification through calculating the security prices and studying the conditions of the existence and uniqueness of market equilibrium,which enable us to examine the theoretical foundation of CAPM closely again.
Keywords:CAPM  equilibrium of capital market  price of security    
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