摘要
从假定投资者没有持有市场投资组合出发,建立不完美市场投资组合下的资本资产定价模型。这一模型从理论上证明,在均衡时,不仅系统风险被定价,没有被分散的非系统风险也被定价。这一模型为非系统风险被定价提供了直接的证据。
Investors are assumed that they are unable to hold the market portfolio. Based on such assumption, an imperfect market portfolio-based equilibrium model is presented. Our model proves that not only the systematic risk will have influence on the price of the company＇s stock, but the idiosyncratic risk will also be priced. Our model demonstrates an explicit role of idiosyncratic risk in asset pricing.
出处
《管理工程学报》
CSSCI
北大核心
2009年第3期62-65,共4页
Journal of Industrial Engineering and Engineering Management
基金
上海市教育委员会科研创新基金资助项目(08YS78)
关键词
非系统风险
股票价格
资产定价
均衡模型
idiosyncratic risk
stock price
asset pricing
equilibrium model
