排序方式： 共有27条查询结果，搜索用时 0 毫秒
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分离定理和对上海股市的CAPM实证分析 总被引：2，自引：0，他引：2
本文简单介绍了资本性资产定价模型（ＣＡＰＭ），并且给出了分离定理的证明，还运用ＣＡＰＭ对上海股市进行了实证分析。 相似文献
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风险资产市场组合的概率分布和均值估计 总被引：1，自引：0，他引：1
邹辉文 《数学的实践与认识》2010,40(19)
探讨CAPM中风险资产市场组合的概率分布和均值估计问题.在股票价格行为模型用维纳过程(又称布朗运动)表述的前提下,证明了CAPM中的市场组合服从加法逻辑正态分布的结论,进而给出了市场组合均值的3种估计.以此为基础进行CAPM的实证检验,才具有理论上的严密性. 相似文献
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对资本资产定价模型(CAPM)的检验 总被引：7，自引：0，他引：7
本文先将 CAPM模型由事前模型转换为可以使用历史数据的事后模型 ,然后用沪市的 17只股票对 CAPM模型进行检验 ,检验结果表明对沪市股票而言基本可以接受 CAPM模型 相似文献
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邹辉文 《数学的实践与认识》2009,39(9)
讨论了资本资产定价模型(CAPM)中两类资产组合有效前沿边界的相切关系,介绍了一些著作和教科书中对它的处理方式,事实上他们均未给出严格意义上的证明.本文对两类资产组合有效前沿边界的相切关系给出了三种较严格的证明. 相似文献
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《Operations Research Letters》2019,47(4):264-269
The standard capital asset pricing model (CAPM) is invalid if the risk-free asset ceases to exist or if the risk-free lending and borrowing rates are different. In the mean–variance (MV) framework, we have an alternative model known as zero-beta CAPM. However, in the case of mean-lower partial moment (MLPM) framework, there is no such alternative. This article addresses this issue and develops an equivalent MLPM model, which is valid for situations described above. The MV zero-beta CAPM can be seen as a special case of this model. 相似文献
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There is strong evidence in the literature for the hypothesis that interest rates and the market risk premium are not constant during the business cycle. The beta risk of firms in the insurance industry is also time-varying. The major implication of these results is that discount rates for risky cash flows are time varying and must obey a term structure similar to the term structure of interest rates. The purpose of this paper is to estimate discount rates for cash flows with different time horizons for the U.S. insurance industry and for different insurance sectors. We find that the term structure cost of capital takes on different shapes depending on the business cycle. It is therefore meaningful for insurers to evaluate risky projects by selecting a discount rate most appropriate for the nature and the time horizon of each project. 相似文献