摘要
本文通过考察证券回报率的高阶中心矩，建立了ｎ参数的资本性资产定价模型，将已有的二参数，三参数ＣＡＰＭ进行了推广，并且相应地定义了高阶风险，详细分析了它对回报率期望的作用。
オonsidering the high central moments of the securitg's return,this paper establishes a n—parameter capital asset pricing model to expand the two-parameter and three-parameter CAPM. It defines the high order risk and discusses their impact on the expect return rate in detail.
出处
《广西工学院学报》
CAS
1998年第2期85-90,共6页
Journal of Guangxi University of Technology
关键词
期望回报率
证券市场
定价模型
资本性资产
Expect return rate
High order central moment
High order risk
Marginal risk premium.
