高级微观经济学timeandassetsmarket(编辑修改稿)

高级微观经济学timeandassetsmarket(编辑修改稿)内容摘要：

00m in ..1AAAa b abxxabAaaaAaaxxs t x R RxAsset market • CAPM: – The first order condition: – If a portfolio is meanvariance efficient, means invest 100% in asset e and 0 in others is MV efficient too. Then we got: 020Ab a b abxR    1()eeAe x x20a e aR    Asset market • CAPM: – For a=0 and a=e we got: – Then we have: – That means if we have a MV efficient portfolio asset an a riskyfree asset, we can achieve efficient portfolio set by taking convex binations of them. (see the fig.) 00022。 e e e eeeRR R R R00()aeaeeeR R R R  Asset market • CAPM: – Let e=m, where is the market portfolio of risky assets. – And 11IIm a i aa a i a iiiipqx p q ww  0 0 0 0( ) ( )ama m a mmmR R R R R R R      Asset market • APT: Arbitrage pricing theory – One factor: • Construct a portfolio of two assets a and b with x and (1x) • The return will be 0 1 1a a a n a n aR b b f b f     0 1 1a a aR b b f0。 ijE f f i j  0 0 1 1 1( 1 ) ( 1 ) ( ( 1 ) )a b a b a bx R x R x b x b x b x b f       Asset market • APT: Arbitrage pricing theory – One factor: • If this portfo。