摘要
关于股市是否存在"免费午餐",理论存在着截然不同的观点。一些经济学家依据"有效市场假说",认为"天下没有免费的午餐"。然而,近年来人们逐渐认识到,在有关金融市场的理论模型中,某些形式巧妙的"免费午餐"是可以得到的。这一结果与基本的经济学原理相冲突,一些经济学家对解释这一有趣的问题做出了努力。本文从股票回报率随机波动的假设出发,利用伊滕定理,在关于投资组合回报率大于政府债券回报率的概率计算基础上,推导出股市存在免费午餐的条件,并对每一因素进行了分析和概率计算。在此基础上,对投资者提出了理性投资建议。
There are different theoretical view points regarding weather there is ＂free lunch＂ in the stock market.Some economists believe that there is no free lunch in the stock market based on the ＂Hypothesis of Efficient Capital Market.＂ However,some other economists gradually realize that some form of ＂free lunch＂ can be obtained with nicely designed investment strategies.This conclusion is directly conflicting with traditional doctrines of financial market.A number of economists have been trying extremely hard to explain this interesting issue.This paper assumes that the stock returns are following the geometric Brownian Motion.Then it calculates the probabilities of portfolio＇s return rate which is greater than that of the government bonds based on Ito＇s Lemma.The paper finds the conditions for free lunch in the stock market and discusses factors affecting the probabilities.
基金
国家社会科学基金资助项目(08BJY155)
