宏观经济条件下的一个资产定价模型

An Asset Pricing Model under Macroeconomic Factors

资产定价和公司金融是金融学中的两个核心问题.首先将宏观经济因素的影响纳入资产定价的框架下,构建了一个资产定价模型;然后利用Bellman原理和Ito公式得到了微分方程,最后给出了债券价值、股权价值和公司价值的解析表达式.

Asset pricing and corporate finance are two core issues in the study of finance. Initially, we take the macroeconomic factors into consideration in this paper and build an asset pricing model. Then we get serial differential equations by taking advantage of the principle of Bellman and the formula of. Finally, we give the analytical expressions of the bond value, equity value and the value of the company respectively.