摘要21世纪以来,资产定价理论对全球经济和金融的发展产生了巨大的影响。资产定价理论的中心问题是处理风险与回报之间的关系。在金融市场不存在无风险套利机会的条件下，资产的价格与其未来的收益可以通过“随机折现因子”联系起来，从而得到基本定价方程。随机折现因子的核心思想是:投资者减少当期消费而投资于某项权益资产的边际效用，等于他在未来某个时点卖掉该资产的边际效用的折现值.文章对金融资产定价理论的发展历程与其方法论、主要成果和前沿问题进行了研究，分析了资产定价理论的内在发展思路,理论的局限性和现实性,随机折现因子与风险溢价的关系、波动率边界、因子结构等特征以及体会。67663

毕业论文关键词：随机折现因子   金融资产定价

毕业设计说明书（论文）外文摘要

Title      Research on  basic characteristics and application of the stochastic discount factor         

Abstract

21st century, asset pricing theory has had a tremendous impact on the global economy and financial development. The central issue of asset pricing theory is solving the relationship between risk and return.When the risk-free arbitrage opportunities do not exist , asset prices and their future earnings can get the basic pricing equation through the "stochastic discount factor" in the financial markets. The core idea of stochastic discount factor is: investors to reduce current consumption and invest in assets of the marginal utility of an interest, equal to sell the asset discounted value at some point in the future .The article on the pricing of financial assets theory and methodology of the development process, the main achievements and cutting-edge issues of research, analysis of asset pricing theory intrinsic development of ideas, theories limitations and reality, the relationship between stochastic discount factor and the risk premium, volatility borders, the factor structure and so on.

Keywords: Stochastic discount factor  Financial asset pricing

目 次

1.绪论 1

1.1研究的背景 1

1.2研究的目的和意义 2

1.3国外研究现状 2

1.4国内学者对随机贴现因子的研究 4

1.5主要研究方法 5

1.6 创新点 6

2.金融资产定价理论的概述及主要贡献者 6

2.1现金流贴现方法及应用 7

2.2投资组合理论(MPT)及应用 9

2.3资本资产定价理论(CAPM)及应用 10

2.4套利定价理论(APT)及应用 11

2.5期权定价理论及应用 14

2.6几种金融资产定价理论方法的比较 15

2.7金融资产定价理论在我国的运用和发展分析 16

3.随机贴现因子分析 17

3.1随机折现因子定价模型 17

3.2随机折现因子的特征 20

3.3由随机折现因子理论导出的资本资产定价模型的几种表示形式 23

结论 29

致 谢 30

参考文献