投资者行为、风险与资产定价理论的发展

Behavior of Investor, Risk and Development of Asset Pricing Theory

资产定价理论是金融学的核心。投资者参与资产市场依据所感受的风险,决定最优消费水平和资产持有数量,进而影响资产的价格和风险,从而实现一般均衡。本文提出从投资者行为和风险的角度来认识资产定价理论的发展,并据此将50年来资产定价理论分为投资组合理论、传统资产定价理论和行为资产定价理论三个主要阶段。本文还具体分析了资产定价理论三个阶段中的投资者行为和风险。

Asset pricing theory is the core of finance. The investor participates in the asset market and decides on the optimal consumption and asset holdings according to the asset risk. Thus, a general equilibrium is realized. This paper studies the development of asset pricing theory from the point of view of the investor's behavior and risk, and identifies three developmental stages of the asset pricing theory since the 1950s, namely, the portfolio choice theory, traditional asset pricing theory, and behavior asset pricing theory. Detailed analyses of the investor's behavior and risk at the three stages are also offered.