北大金融经济学课件1

FinancialEconomicszChi-fuHuangandRobertH.Litzenberger,Foundationsforfinancialeconomics,NewYork:North-Holland,c19881998.z23zF.L.StephenandJanWerner,Principlesoffinancialeconomics,NewYork:CambridgeUniversityPress,2001.4z2006zAssetPricing200120052009:byCochrane,JH,publishedbyPrincetonUniversityPress.56z20047z2000,20058z2001(z--Excel()2003910zExcel200411zDuffieDynamicAssetPricingTheoryzMertonContinuousTimeFlinance201031131234141.1:WikiFinancialeconomicsisthebranchofeconomicsconcernedwithresourceallocationovertime.Itisfurtherdistinguishedfromotherbranchesofeconomicsbyitsconcentrationonmonetaryactivities,inwhichmoneyofonetypeoranotherislikelytoappearonbothsidesofatrade151.1:BritankettellzBritankettell16:zTime:moneynowistradedformoneyinthefuture.zUncertaintyorrisk):Theamountofmoneytobetransferredinthefutureisuncertain.zoptions:onepartytothetransactioncanmakeadecisionatalatertimethatwillaffectsubsequenttransfersofmoney.zInformation:knowledgeofthefuturecanreduce,orpossiblyeliminate,theuncertaintyassociatedwithfuturemonetaryvalue(FMV).171.1z181.1zMarketEfficiency¾modellinghowpricesevolvein(near)efficientmarkets¾e.g.,quantifyingmismatchrisk;probabilityofmarketcrashes¾AssetPricing¾factorsthatdriveindividualsecurityprices¾e.g.,comparativeassessmentofgrowthversusvalueindicators;pricinganomalies¾PortfolioSelection)¾Howtoselectassetsandmakeinvestmentdecisio¾CorporateFinance¾optimumfinancialmanagementofcompanies¾e.g.,capitalstructure;dividendpolicy;pensionfundinvestment191.1z•·1999••MPTMMCAPM••EMH201.2z•••••••211.3.zz•z•=•z2215%11100$0=S%5=fr115$%)151(100$=+×=F?F=$106/23$1001061$1001+$100−$1050106–S1−$100S10$11$105241.3z251.3z••Debreu“”261.3z•keynes271.3zzzzzzzz281.3z••291.3z••301.3z••31Merton“Anyvirtuecanbecomeaviceiftakentoanextreme,andjustsowiththeapplicationofmathematicalmodelsinfinancepractice.Ithereforeclosewithanaddedwordofcautionabouttheiruse…Thepractitonershouldthereforeapplythemodelsonlytentatively,assessingtheirlimitationscarefullyineachapplication.”R.C.Merton,Influenceofmathematicalmodelsinfinanceonpractice:past,presentandfutureinMathematicalModelsinFinance,Chapman&HallforTheRoyalSociety(London),1995.1?2322.1az18741(L.Warlas)z1954•1972(K.Arrow,1921)•1983(G.Debreu,1921)332.1cz1954Arrow--Debreuz1959342.2az:50•1953•20101900LouisBachelier:TheoryofSpeculation.2.2bz2050(L.Bachelier,18701946)1900••“”“”zThetragicherooffinancialeconomicswastheunfortunateLouisBachelier.1900:Bachelier’sTheoryofSpeculation¾Inhis1900dissertationwritteninParis,TheoriedelaSpéculation(andinhissubsequentwork,esp.1906,1913),heanticipatedmuchofwhatwastobecomestandardfareinfinancialtheory:randomwalkoffinancialmarketprices,Brownianmotionandmartingales(note:allbeforebothEinsteinandWiener!)¾‘Itseemsthatthemarket,theaggregateofspeculators,atagiveninstant,canbelieveinneitheramarketrisenoramarketfall…’;‘…themathematicalexpectationsofthebuyerandthesellerarezero’37201019731900FischerBlack&MyronScholes:ThePricingofOptionContractsandCorporateLiabilities.RobertMerton:TheoryofRationalOptionPricing.LouisBachelier:TheoryofSpeculation.2.2c•1997(M.Scholes,1941)(F.Black,19381995)(R.Merton,1944)•“”1973(F.Black,19381995)(M.Scholes,1941)z201019731900FischerBlack&MyronScholes:ThePricingofOptionContractsandCorporateLiabilities.RobertMerton:TheoryofRationalOptionPricing.LouisBachelier:TheoryofSpeculation.1944JohnvonNeumann&OskarMorgenstern:TheoryofGamesandEconomicBehaviour.WorkofProbabilists:Levy,Cramér,Wiener,Kolmogorov,Doblin,Khinchine,Feller,Itô.BulletinofA.M.S.:Posteritymayregardthisbookasoneofthemajorscientificachievementsofthefirsthalfofthetwentiethcentury.197319501952HarryMarkowitz:PortfolioSelection.z“”1952(H.Markowitz,1927)197319501952HarryMarkowitz:PortfolioSelection.z(H.Markowitz,1927)1990•197319501952HarryMarkowitz:PortfolioSelection.z••zPortfolioSelection(MPTorMean-VarianceAnalysis)¾If,foreachsecurity,wecanestimateitsexpectedreturn,itss.d.,anditscorrelationwitheveryothersecurity,thenwecansolvefortheefficientfrontier.ExpectedReturnRisk(s.d.)EfficientFrontierAllPossiblePortfolios1973195019521953HarryMarkowitz:PortfolioSelection.MauriceKendall:TheAnalysisofTimeSeries,PartI:Prices.19731950195219581953HarryMarkowitz:PortfolioSelection.MauriceKendall:TheAnalysisofTimeSeries,PartI:Prices.FrancoModigliani&MertonMiller:TheCostofCapital,CorporationFinanceandtheTheoryofInvestmentsz(M.Miller,19232000)90•85(Modigliani-MillerTheorem,MMT)•46MMzMM•()zMM•()19731950195219581953HarryMarkowitz:PortfolioSelection.MauriceKendall:TheAnalysisofTimeSeries,PartI:Prices.FrancoModigliani&MertonMiller:TheCostofCapital,CorporationFinanceandtheTheoryofInvestmentsJamesTobin:LiquidityPreferenceasBehaviorTowardRisk.(Tobin):UniqueRoleofRisk-FreeAsset¾SeparationTheorem:Theproportionofaportfolioheldintherisk-freeassetdependsonriskaversion.Thecompositionoftheriskypartoftheportfolioisindependentoftheattitudetorisk.ExpectedReturnRisk(s.d.)AllPossiblePortfoliosEfficientFrontier19731950195219581953HarryMarkowitz:PortfolioSelection.MauriceKendall:TheAnalysisofTimeSeries,PartI:Prices.FrancoModigliani&