服从ARCH模型的风险资产定价模型

The Capital Assets Pricing Model with the ARCH Process

考虑服从 ARCH模型的风险资产的定价问题 ,研究了投资者在具有二次效用函数下的最优投资组合问题 .利用无套利原理给出了投资者在效用最大化条件下风险资产的定价问题 ,给出了最优投资组合的定价模型 。

The risk assets pricing problem is considered here with the autoregressive conditional heteroskedastic process. By using arbitrage free principle, the problem of optimal investment is discussed with mean variance utility, and some pricing formulas of the optimal portfolio given.