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本文根据Wlliamson Grossman Hart的资产一体化研究思路 ,将资本资产定价模型 (CAPM)扩展成为适用于异质资产定价 (idiosyncraticassetpricing)的理论模型。按照资产一体化思路 ,定价资产的风险可分为绝对风险和相对风险贡献 ,定价资产的绝对风险反映了资产一体化诱取的风险积聚特征 ,相对风险贡献满足Shapley值的基本假说 ,因而可以得到在资产一体化条件下计量定价资产相对风险贡献的Shapley风险期望值。根据市场均衡条件下资产一体化总体均值—方差的消费表达形式 ,我们得到用Shapley风险期望值表达的企业资产风险及其预期报酬的均衡解。
Based on Wlliamson Grossman Hart’s idea of asset integration research, this paper expands the Capital Asset Pricing Model (CAPM) into a theoretical model applicable to heterogeneous asset pricing (idiosyncraticassetpricing). According to the idea of asset integration, the risk of pricing assets can be divided into absolute risk and relative risk contribution. The absolute risk of pricing assets reflects the risk accumulation characteristics induced by asset integration, and the relative risk contribution can meet the basic hypothesis of Shapley value, and thus can be obtained. The Shapley Risk Expectation of Measuring the Relative Risk Contribution of Pricing Assets under the Condition of Asset Integration . According to the overall mean value of asset integration under the conditions of market equilibrium, the expression of variance in consumption, we obtain an equilibrium solution of corporate asset risk and expected return expressed by the Shapley risk expectation value.