预期信念中含一般函数参数的资本资产定价模型研究

A Pricing Model Research with the General Function Parameters in Expected Belief

在经典的经济资产定价模型理论中,假定的是基本面分析者预期信念中价格在一定时间会偏离长期基准价格但最终会向基准价格回归,而仅考虑方差是一个常数,在本文中基本面交易者的价格波动不仅受到当前价格自身的影响,还会受到当前价格和基准价格偏差的影响,而图表分析者相信未来价格的预测来自于当前价格和历史价格的学习过程,这个历史价格过程是一个有限的几何衰减过程,选择的历史信息记忆参数为一个常数,因此,在本文中,我们预期信念中记忆参数选择为一个一般函数,由此构建了一个预期信念中有一般函数参数的资产定价模型。

In the classic asset pricing model theory, it is assumed that fundamental analysts’ expected belief prices will deviate from the long-term benchmark price but will eventually return to the benchmark price in a certain period of time, and considering only the variance is a constant, in this paper the fundamental traders’ price volatility is not only affected by the current price of its influence will from the current price but also the benchmark price of the deviation, and the chart analysts believe the learning process of the future price forecast from the current price and the price of the price history, the historical process is a geometric decay process, historical information memory parameters as a constant, therefore, in this paper, we expect the memory parameter selection as a general belief function, which constructs the asset pricing model with general function parameters in the expected beliefs.