摘要
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.
The problems about probability distribution and mean estimation of the market portfolio of risk assets in CAPM were discussed.Under the prerequisite that the model of stock price behavior is described by the Wiener processes（also call Brown motion）,the market portfolio in CAPM obeys the additive logistic normal distribution was proved.Three estimations of the mean of the market portfolio were shown.Only on the basis of that,the empirical tests on CAPM are of theoretical stricture.
出处
《数学的实践与认识》
CSCD
北大核心
2010年第19期23-31,共9页
Mathematics in Practice and Theory
基金
教育部人文社会科学规划基金项目(07JA790096)
福建省社会科学规划项目(2007B065)
关键词
资本资产定价模型(CAPM)
市场组合
capital assets pricing model（CAPM）
market portfolio
additive logistic normal distribution
