Asset Pricing A Brief Review

(1)

Munich Personal RePEc Archive

Asset Pricing - A Brief Review

Li, Minqiang

2010

(2)

Asset Pricing Models – A Brief Review

Minqiang Li

Georgia Institute of Technology

Abstract

(3)

ˍ

ˍˊ

ˊ

ᇐ㿔

Ā䌘ѻ˄

asset

˅āᰃϔϾ↨䕗ㄐ㒳ⱘ䞥㵡ᄺ䆡∛Ǆㅔऩഄᴹ䇈ˈ䌘ѻৃҹߚ

Ўᰒᗻҹঞ䱤ᗻϸ໻㉏Ǆᰒᗻ䌘ѻࣙᣀϾҎⱘഄѻˈӕϮⱘॖ᠓ˈ䆒໛ҹঞᅗথ㸠

ⱘ৘⾡᳝ᔶⱘ䆕ࠌˈ೑ᆊⱘ໪∛ټ໛ㄝ݋ԧⱘ৘⾡䌘ѻᔶᓣǄ䱤ᗻ䌘ѻ߭ࣙᣀϔϾ

݀ৌᢹ᳝ⱘৡໄˈϧ߽ᴗˈҹঞ┰೼ⱘᅲԧᳳᴗᓣⱘᡩ䌘ᴎӮˈㄝㄝǄ᠔䇧Ā䌘ѻ

ᅮӋ˄

asset pricing

˅ā乒ৡᗱНህᰃᇍ৘⾡ᰒᗻ៪䱤ᔶⱘ䌘ѻ䖯㸠ӋؐϞⱘ㉫⬹

䆘Ԅ៪㊒⹂䅵ㅫǄĀᡩ䌘㒘ড়˄

portfolio

˅āᰃᣛ೼䌘ѻᅮӋ⧚䆎ⱘ෎⸔Ϟḍ᥂ϡ

ৠⱘᡩ䌘Ⳃᷛ䗝ᢽ䌘ѻⱘ᳔Շᨁ䜡Ǆ

ҢҎ㉏᭛ᯢߎ⦄⠽䋼ѸᤶᯊˈҎ㉏ህᏆ㒣ᓔྟ䖯㸠䌘ѻᅮӋњǄ೼ଚક㒣⌢

催ᑺথ䖒ⱘ⦄ҷ⼒Ӯˈ䌘ѻᅮӋᏆ㒣থሩ៤њϔϾ↨䕗៤❳ⱘˈϹ䇼ⱘ䞥㵡ᄺߚঝ

ᄺ⾥Ǆ঺໪ˈ䌘ѻᅮӋᴀ䑿জᏆ㒣ߚ࣪ߎњ৘Ͼ⏙᱄ⱘߚᬃˈ↨བ䇈䞥㵡㸡⫳⠽

˄

financial derivatives

˅ˈ೎ᅮᬊⲞ䆕ࠌ˄

fixed income securities

˅ㄝㄝǄ⬅Ѣ䌘ѻ

ᅮӋ੠ᡩ䌘㒘ড়ⱘ催ᑺⳌ݇ᗻˈᮽᳳⱘ㒣݌⧚䆎བ䌘ᴀ䌘ѻᅮӋ῵ൟᑊ᳾ᇍѠ㗙䖯

㸠㒚㟈ⱘऎߚǄԚ䖥ᑈᴹˈ䱣ⴔ䌘ѻᅮӋ⧚䆎໻Ḛᶊᓎゟⱘᅠ៤ˈᡩ䌘㒘ড়⧚䆎ᓔ

ྟߎ⦄њ⣀ゟথሩⱘ䍟৥Ǆ

䌘ѻᅮӋҹঞᡩ䌘㒘ড়⧚䆎ⱘ䞡㽕ᗻᰃϡ㿔㗠ஏⱘǄҢϾҎሖ䴶ᴹ䇈ˈᅗӀ

ᇍϾҎᡩ䌘⧚䋶ᦤկњ⧚䆎ϞⱘᣛᓩǄᇍ݀ৌᴹ䇈ˈ݀ৌⱘ৘乍䞥㵡އㄪ㒣ᐌձ䌪

Ѣ䌘ѻⱘᅮӋǄ↨བ݀ৌ೼䳔㽕䌘䞥ᯊˈᅗৃҹḍ᥂ᔧࠡ㙵⼼ⱘᅮӋᴹއᅮᑨᔧথ

㸠؎ࠌ䖬ᰃ㙵⼼Ǆ݀ৌгৃҹ߽⫼ϡৠⱘ䞥㵡Ꮉ݋ᴹᑨᇍ৘⾡┰೼ⱘ亢䰽ǄҢ೑ᆊ

ሖ䴶ᴹ䇈ˈ೑ᆊ䳔㽕䱣ᯊⲥ᥻ᏖഎϞ䌘ѻᅮӋⱘ⾽ᑣᰃ৺ℷᐌǄ೑ᆊⱘ৘⾡ᬓㄪབ

⿢ᬊˈѸᯧ乱ᑺˈ⼒Ӯ⽣ֱ߽䱰ㄝজড䖛ᴹᕅડ䌘ѻⱘᅮӋǄ঺໪ˈ䆌໮೑ᆊᢹ᳝

Џᴗᡩ䌘෎䞥˄

sovereign investment funds

˅Ǆབԩᇍ䖭ѯ෎䞥䖯㸠៬⬹ᗻᡩ䌘гᰃ

ϔϾ䞡㽕ⱘ䌘ѻᅮӋঞᡩ䌘㒘ড়䇒乬Ǆ

៥೼ᴀ᭛Ёᇚ

ҟ㒡

৘⾡䌘ѻᅮӋঞᡩ䌘㒘ড়ⱘ⧚䆎ˈ䞡

⚍

ᇚ

㹿ᬒ

೼䖥

क

ᑈᴹ

ⱘ⧚䆎থሩǄ೼

ℸ

෎⸔Ϟˈ៥г

ҟ㒡

᳔䖥ҹᴹ䖭Ͼ

乚ඳ

ⱘথሩᑊᦤߎ᳾ᴹⱘ

ⷨお

ሩ

ᳯ

Ǆ

䡈

Ѣ䌘ѻᅮӋ⧚䆎ⱘ

ᑓ

ᑺঞ

⏅

ᑺˈᴀ᭛ᇚ

䆩೒

䕗

ܼ

䴶ഄᇍ䖭Ͼ

乚ඳ

Ё᳔Ў䞡㽕

ⱘ

Ḍᖗ ݙᆍ

䖯㸠

䯤䗄

Ǆ៥ᇚ ⬹

এ

ϔ ѯᏆ㒣

㞾

៤ԧ

㋏

ⱘߚ ᬃˈ↨ བ㸠Ў 䞥㵡ᄺ

˄

behavioral finance

˅ˈ䞥㵡Ꮉ

⿟

ᄺ˄

financial engineering

˅ˈㄝㄝǄ៥гϡ

⡍ᛣ䯤

䗄া⡍

ᅮѢᡩ䌘㒘ড়ⱘ⧚䆎Ǆ䌘ѻᅮӋЁϔϾ

Ḍᖗ

ⱘ䇒乬ᰃ㙵ᴗ

⑶

Ӌ

П䇰

˄

equity

premium puzzle

˅Ǆᴀ᭛гϡ݋ԧ

䅼

䆎Ǆ঺໪ˈ݇Ѣ⧚䆎੠ᅲ䆕

П䯈

ⱘ⾡⾡݇

㘨

ˈ

г

䇋䇏

㗙

খ㗗݊

ᅗ᭛

⤂

Ǆ

೼ᓔྟᴀ᭛

П

ࠡˈ៥

䅸

Ў

ҟ㒡

ϔ

ϟ

Ꮖ㒣ߎ

⠜

ⱘ

㽓ᮍ

䌘ѻᅮӋϧ

㨫

៪

㓐

ড়䆘䆎

ᰃ

ᵕ݊

᳝⫼ⱘǄ↨䕗᳝

ਃ

থᗻⱘ

㓐

ড়䆘䆎᳝

Campbell

˄

2000

˅ˈ

Mehra

੠

Prescott

˄

2003

˅ˈҹঞ

Cochrane

˄

2005

˅Ǆ

Campbell

ᰃᇍ

2000

ᑈҹࠡⱘ䌘ѻᅮӋ

乚ඳ

ⱘ

㓐䗄

ˈЏ㽕ⴔ

ⴐ

Ѣᅲ䆕੠⧚䆎

П䯈

ⱘ

Ѧࡼ

Ǆ

Mehra

੠

Prescott

ⴔ䞡

䯤䗄

㙵ᴗ

⑶

Ӌ

П

䇰

Ǆ

Cochrane

ⴔ

ⴐ

Ѣ䌘ѻᅮӋ੠

ᅣ㾖

㒣⌢

П䯈

ⱘ

㘨㋏

Ǆ݇Ѣϧ

㨫

ˈᮽᳳ↨䕗᳝ৡ

(4)

↨䕗ⴔ䞡䌘ѻᅮӋⱘ

ᖂ㾖

⧚䆎῵ൟǄ

㔎ធ

ᰃ

⿡⿡

ᰒ

㗕

њϔѯˈ

঺໪ϸ

к

Ё

䛑

ϡ

䆺

㒚

㽚Ⲫ䖲㓁

ᯊ

䯈

῵ൟǄ↨䕗

ᮄ

ⱘ

к

᳝

Duffie

˄

2001

˅ˈ

Cochrane

˄

2001

˅ˈ

LeRoy

੠

Werner

˄

2001

˅ˈ

Pennacchi

˄

2008

˅ˈҹঞ

Skiadas

˄

2009

˅Ǆ

݊

Ё

Cochrane

˄

2001

˅ˈ

LeRoy

੠

Werner

ҹঞ

Skiadas

䛑

ϡ

䆺

㒚

⍝

ঞ

䖲㓁

ᯊ

䯈

῵ൟǄ

Cochrane

ܼ

к䛑

ᓎゟ೼䱣ᴎ

ᡬ

⦄

಴ᄤ

˄

stochastic discount factor

˅ⱘ෎⸔Ϟˈϡৠⱘ῵ൟ⬅ϡ

ৠⱘ䱣ᴎ

ᡬ

⦄

಴ᄤᇐ

ߎǄᅗЏ㽕

䆆䗄⾏ᬷ

ᯊ

䯈

῵ൟǄ

ℸк᭄

ᄺ㽕

∖

䕗

Ԣ

ˈԚ

ὖᗉ䆆

ᕫ

Ⳍᔧ

䗣ᕏ

Ǆ

LeRoy

੠

Werner

гϡ

⍝

ঞ

䖲㓁

ᯊ

䯈

῵ൟˈⴔ䞡

䯤䗄

䌘ѻᅮӋⱘ

ᖂ㾖

⧚䆎෎⸔Ǆᅗᇍ

᭄

ᄺ㽕

∖⿟

ᑺ੠

Cochrane

Ⳍᔧˈ

Џ㽕

⡍㡆

ᰃ䌘ѻⱘ᳾ᴹᬊⲞ

⥛㹿

ᅮН೼ϔϾ᳝

䰤㓈

ⱘ

Ꮰᇨԃ⡍ぎ䯈

˄

Hilbert space

˅

П

Ϟˈ

⬅

ℸ䙓ܡ

њ৘⾡

᭄

ᄺϞ

ⱘ

ᡔᴃ

ᗻ

ೄ䲒

Ǆ

Skiadas

ঞ

LeRoy

੠

Werner

ϸᴀ

к

↨䕗㉏

Ԑ

ˈ᠔ϡৠⱘᰃ

Skiadas

᳈ࡴ

⧚䆎࣪ˈᇍ

䇏

㗙ⱘ

᭄

ᄺ

⿟

ᑺ㽕

∖

䕗催ˈԚгϡ

⍝

ঞ

䖲㓁

ᯊ

䯈

῵ൟǄ

Duffie

ᰃ↨

䕗ᴗ

࿕

ⱘ䆎

㨫

ˈ

⍝

ঞ

䖲㓁

ᯊ

䯈

῵ൟˈԚᇍ䌘ѻᅮӋⱘ

߱

ᄺ㗙ৃ

㛑

䖛Ѣ

⏅༹

੠ㅔ

㒗

Ǆ

᳔

ৢ

ˈ੠໻

䚼

ߚ

݊

ᅗ

к

ϡৠˈ

Pennacchi

㽚Ⲫ

䴶↨䕗

ᑓ

ˈ෎ᴀ

⎉Ⲫ

њ䌘ѻᅮӋⱘ᠔

᳔᳝䞡㽕ⱘ

䚼

ߚˈ

᭄

ᄺ

⿟

ᑺг

䗖

Ёˈᰃϔᴀ

߱

ᄺ㗙ϡৃ໮

ᕫ

ⱘ

ܹ䮼к㈡

ˈᇍ

ᬭ

ᄺ㗙

ᴹ䇈гᰃϔᴀ

ᵕ݊

ᅲ⫼ⱘ

ܹ䮼ᬭᴤ

ǄԚᴀ

к

ⱘ

⏅

ᑺ↨

݊

ᅗⱘ

к

⬹

⌙

ѯǄ঺໪ˈᇍ

䖲

㓁

ᯊ

䯈

੠䞥㵡Ꮉ

⿟ᛳ݈䍷

ⱘ

䇏

㗙ৃҹ

খ㗗

Björk

˄

2009

˅៪

Shreve

˄

2004

˅Ǆ

ᴀ᭛ⱘ݋ԧ

ᅝᥦ

བ

ϟ

Ǆ೼

㄀

Ѡ

㡖䞠

ˈ៥

ҟ㒡

ᮽᳳⱘ䌘ѻᅮӋ㒣݌⧚䆎Ǆ

㄀ϝ

㡖䆆䗄

ϔѯ

⿡

䖥ᳳⱘ䞡㽕

ὖᗉ

ঞ

ᡔᎻ

ˈ෎ᴀϞᰃ

ܿक

ᑈҷҹ

ৢ

ⱘ៤

ᵰ

Ǆ

㄀ಯ㡖䞠

ᇚ

ⴔ䞡

䆆䗄

䌘ѻᅮӋ᳔䖥

क

ᑈҹᴹⱘ䖯ሩǄ

㄀Ѩ㡖

ᰃ

ᘏ㒧

Ǆ

ˎ

ˎˊ

ˊ

㒣݌⧚䆎

䌘ѻᅮӋ⧚䆎ⱘ

Ḍᖗ

ᅠ

ᭈ

ഄᓎゟ೼

ϝ

Ͼ

Ѧ

ⳌㄝӋⱘ෎

⷇

Ϟˈ

䙷

ህᰃˈ

༫

߽

˄

arbitrage

˅ˈ

Ӭ

࣪˄

optimization

˅੠

ᑇ㸵

˄

equilibrium

˅Ǆ᠔䇧

༫

߽ᰃᣛᏖഎϞ

ϡ

ᄬ

೼

༫

߽ᴎӮˈ

Ӭ

࣪߭ᣛऩϔⱘҷ

㸼

ᗻᡩ䌘㗙䖯㸠

Ӭ

࣪އㄪˈ㗠

ᑇ㸵

߭ᣛᏖഎⱘ

կ

∖ᑇ㸵

Ǆབ

ᵰ

៥Ӏ

؛

ᅮ

݊

Ёⱘ

ӏ

ԩϔϾˈ៥Ӏህ

㛑

䆕ᯢ䱣ᴎ

ᡬ

⦄

಴ᄤ

ⱘ

ᄬ

೼Ǆϡ

ৠⱘ῵ൟ߭

ᇐ

ߎϡৠⱘ

ᡬ

⦄

಴ᄤ

Ǆ೼䖭Ͼ

ᛣ

НϞˈ

ሑㅵ

ϡৠⱘ῵ൟৃ

㛑

Ӯ

㒭

ߎ

ᕜ

ϡ

ϔ

ḋ

ⱘӋ

Ḑ

៪ᣛ

⼎ᕜ

ϡϔ

ḋ

ⱘއㄪˈϡৠⱘ䌘ѻᅮӋ῵ൟᰃ㒳ϔⱘǄ᳝ѯ῵ൟ߭

ⷨ

お⡍

ᅮⱘᏖഎ៪䌘ѻˈ↨བ೎ᅮᬊⲞ㉏ˈ䞥㵡㸡⫳ѻકˈㄝㄝǄ೼

߱

ᄺ䌘ѻᅮӋ⧚

䆎ᯊˈབ

ᵰ

⏙

Ἦ

䖭Ͼ໻ḚᶊˈህϡӮ೼

ӫ

໮ⱘ῵ൟࠡ

㾝ᕫⴐ㢅㔁х

Ǆ

೼ 䌘 ѻ ᅮ Ӌ ⧚ 䆎 ⱘ থ ሩ Ё ˈ ↨ 䕗 ᳝ ᕅ ડ ⱘ ⧚ 䆎 ࣙ ᣀ 䌘 ᴀ 䌘 ѻ ᅮ Ӌ ῵ ൟ

˄

Capital Asset Pricing Model

ˈ

ৢ

⬹Ў

CAPM

˅ˈ

༫

߽ᅮӋ⧚䆎˄

Arbitrage Pricing

Theory,

ৢ

⬹Ў

APT

˅ˈ

䎼

ᳳ䌘ᴀ䌘ѻᅮӋ῵ൟ˄

Intertemporal Capital Asset Pricing

Model,

ৢ

⬹Ў

ICAPM

˅ˈ

⍜䌍

䌘ᴀ䌘ѻᅮӋ῵ൟ˄

Consumption Capital Asset

Pricing Model,

ৢ

⬹Ў

CCAPM

˅ˈҹঞᳳᴗᅮӋ⧚䆎˄

Option Pricing Theory

˅Ǆ

݊

Ёˈ

Markowitz, Miller

੠

Sharpe

಴

Ўᦤߎ੠থሩ

CAPM

㗠

㦋ᕫ

1990

ᑈᑺ

䇎䋱ᇨ

㒣⌢ᄺ

༪

ˈ

Merton

੠

Scholes

߭

಴

Ўᦤߎ੠থሩᳳᴗᅮӋ⧚䆎㗠

㦋ᕫ

1997

ᑈᑺ

䇎

䋱ᇨ

㒣⌢ᄺ

༪

Ǆ

ሑㅵ

䖭ѯᮽᳳ῵ൟⱘᅲ䆕

㸼

⦄ᑊϡᰃ

⡍߿

ߎ

㡆

ˈᇍᅗӀⱘ

䗣ᕏ

⧚

㾷

(5)

䌘ᴀ䌘ѻᅮӋ῵ൟ

CAPM

ᰃ ϔ Ͼ ऩ ᳳ ⱘ ⧚ 䆎 ˈ ᇍ ᅗ ⱘ থ ሩ

䍋

䞡㽕

԰

⫼ ⱘ ᭛

ゴ

᳝

Markowitz

˄

1952

˅ ˈ

Sharpe

˄

1964

˅ ˈ

Lintner

˄

1965

˅ ˈ

Mossin

˄

1966

˅ ˈ ҹ ঞ

Black

˄

1972

˅Ǆ

Markowitz

ⱘᎹ

԰

ᰃᓔ

߯

ᗻⱘǄ೼

ҪП

ࠡˈҎӀᏆ㒣

䅸䆚ࠄ

њ亢䰽੠

乘

ᳳᬊⲞ

⥛П䯈

ⱘ݇

㋏

Ǆ

Markowitz

ⱘ

䋵⤂

೼Ѣᅗᦤߎњ亢䰽ߚ

ᬷ

˄

diversification

˅

䖭Ͼ

ὖᗉ

ǄϔϾ

ॠᙊ

亢䰽ⱘᡩ䌘㗙

Ꮰᳯ

೼೎ᅮ

乘

ᳳᬊⲞ

⥛

ⱘৠᯊ

ᡓᢙሑ䞣ᇣ

ⱘ亢䰽Ǆ

Markowitz

⫼

ᮍᏂ

ᴹ

ᦣ䗄

ϔϾ䱣ᴎᬊⲞ

⥛

ⱘ亢䰽Ǆᡩ䌘㗙

䗮

䖛

䇗㡖

৘Ͼ䌘ѻ೼㒘ড়

Ёⱘ↨

՟

ᴹ

ՓᮍᏂ

᳔

ᇣ

࣪Ǆ

ሑㅵ

ৃҹ䇈

Markowitz

ᓔ

ਃ

њ៪

䗔

ϔ

ℹ

䇈ᕅડњ

ᭈ

Ͼ⧚

䆎䞥㵡

⬠

ˈ೼ᔧᯊ

Ҫ

ⱘᎹ

԰

ⱘ䞡㽕ᗻᑊ

≵

᳝

㹿偀

Ϟ

䅸䆚ࠄ

Ǆ

џ

ᅲϞˈ೼

Markowitz

ⱘ

म຿

䆎᭛

ྨਬ

ӮЁⱘ

Friedman

˄

ৢ

㗙ҹ

ৢ

гᰃ

䇎䋱ᇨ༪㦋ᕫ

㗙˅䋼

⭥

Markowitz

ⱘ Ꮉ

԰

ᰃ ৺ 䖒

ࠄ

њ 㒣 ⌢ ᄺ

म ຿

ⱘ

∈ ޚ

㽕

∖

Ǆ

ৢ

ᴹ ˈ

Sharpe

˄

1964

˅ ˈ

Lintner

˄

1965

˅ˈ

Mossin

˄

1966

˅ˈҹঞ

Black

˄

1972

˅জᇍ

Markowitz

ⱘ

ഛ

ؐ

-

ᮍᏂ

⧚䆎

԰

њ

ᓊԌ

Ǆ

Sharpe

ⱘ

㛮⊼

ЁᏆ㒣

㄀

ϔ

⃵

ߎ⦄њ⦄ҷ

CAPM

ⱘ

ᮍ⿟

ᓣˈ

া

ᰃ

Ҫ

ⱘ

ヺ

ো

੠⦄ҷ

䗮

⫼ⱘ᳝᠔ϡৠǄ

Black

䆕ᯢњབ

ᵰ

ϡ

ᄬ

೼

᮴ 亢䰽䌘ѻᯊˈ

䗮

ᐌⱘ

CAPM

Ӯ

㹿

ϔϾ

䳊

– CAPM

᠔ҷ

᳓

Ǆ䖭ѯᮽᳳⱘ᭛

⤂

ЁᏆ㒣ᦤߎњᏖഎ亢䰽˄

Ѻे㋏

㒳

亢䰽˅੠݀ৌ

⡍

ᅮ亢䰽˄

Ѻे䴲㋏

㒳亢䰽˅䖭ϾᬊⲞ

⥛

ߚ

㾷

ᔶᓣǄ঺໪ˈ᳝

ᬜ䖍⬠

˄

efficient frontier

˅ ˈ

䳊

Ⳍ ݇ 㒘 ড় ˄

zero-correlated portfolio

˅ ˈ ෎ 䞥 ߚ

⾏

ᅮ ⧚

˄

fund separation theorem

˅ㄝгᰃ

CAPM

Ё

ᵕ݊

䞡㽕ⱘ

ὖᗉ

Ǆ

乎֓

ᦤϔ

ϟ

ˈ

䇏

䖭

ѯ

ॳ㨫

ᯊ䳔

⊼ᛣ

೼ᮽᳳ᭛

⤂

Ё᳝

ᬜ䖍⬠೒

Ё

῾㒉ത

ᷛߚ

߿

ᰃ

乘

ᳳ

ಲ᡹⥛

੠ᷛ

ޚᮍᏂ

ˈ

੠⦄ҷⱘ

дᛃ

ℷ

ད

ⳌডǄ

⧚䆎Ϟˈऩᳳⱘ

CAPM

ⱘ

᥼ᇐ

᳝໮⾡ᔶᓣǄ↨བ៥Ӏৃҹ

؛

ᅮℷ

ᗕ

ߚ

Ꮧ

ⱘ䱣

ᴎᬊⲞ

⥛

៪

⡍

ᅮⱘ

ᬜ

⫼

ߑ᭄

Ǆ៥

䞛

⫼ⱘᳳ

ᳯ

ؐ

-

ᮍᏂӬ

࣪

ᮍ⊩

བ

ϟ

Ǆ

؛

䆒ᡩ䌘ᴎӮ

ᰃ

n

Ͼ

㒓

ᗻϡⳌ݇ⱘ

ᏺ

亢䰽䌘ѻˈᑊ

䅽

Ri

㸼⼎

䌘ѻ

i

೼ᯊᳳ

᳿

ⱘ䱣ᴎᬊⲞ

⥛

Ǆ

؛

䆒

乘

ᳳ

ಲ᡹⥛

৥

䞣

ᰃ

णᮍᏂⶽ䰉

ᰃ

Ǆ

ϔϾᳳ

ᳯ

ؐ

-

ᮍᏂ

ᡩ䌘㗙

ⱘ

䯂

乬ᰃ

ᗢḋ

䗝ᢽ৘Ͼ䌘ѻⱘᴗ䞡 ᴹ

Փᕫ

ᡩ䌘㒘ড়ⱘ

ᮍᏂ

᳔

ᇣ

Ǆ䖭

䞠

᳝ϸϾ

䰤ࠊ

ᴵӊ

ǄϔϾᰃᴗ䞡

ᕫࡴ

੠Ў

1

Ǆ঺ϔϾ

ᴵӊ

ᰃᡩ䌘㒘ড়ⱘ

乘

ᳳᬊⲞ

⥛

೎ᅮ೼ϔϾᅲ

᭄

ؐ

Ǆ៥Ӏҹ ᴹҷ

㸼

᠔᳝ߚ

䞣䛑

ᰃ

1

ⱘ৥

䞣

Ǆ݋ԧⱘ

Ӭ

࣪

䯂

乬བ

ϟ˖

(2.1)

ᑊ

⒵䎇

ᴗ䞡

ࡴ

੠Ў

1

ˈҹঞ䖒

ࠄ

Ⳃᷛ

乘

ᳳᬊⲞ

⥛

(2.2)

೼

ग़䘡

ᅲ

᭄

䕈

ᯊ᠔᳝ⱘ

㾷䛑㹿

⿄

Ў᳝

ᬜ

㒘ড়˄

efficient portfolio

˅ˈ

ᅗӀⱘ

ܼ

ԧ

ህᰃ᳝

ᬜ䖍⬠

Ǆ䖭Ͼ

䯂

乬

ᕜᆍ

ᯧ⫼

ᢝ

Ḑ

ᳫ᮹Ь

ᄤ

˄

Lagrangian multiplier

˅ⱘ

ᮍ⊩∖

㾷

Ǆ

㾷

ⱘᔶ

࢓

ᰃϸϾ᳝

ᬜ

㒘ড়ⱘ

ࡴ

ᴗ

ᑇഛ

Ǆ

㄀

ϔϾ㒘ড়ⱘᴗ䞡੠

៤ℷ↨Ǆ

㄀

(6)

minimum variance portfolio

˅Ǆৃҹ䆕ᯢ᳝

ᬜ䖍⬠

೼ᷛ

ޚᮍᏂ

-

乘

ᳳᬊⲞ

⥛ぎ䯈

Ёᰃ

ϔ

ᴵ

ঠ᳆

㒓

ⱘℷᬃǄ

᳝

ᬜ

㒘ড়ⱘᴗ䞡ᔶᓣⱘ঺ϔϾ

ᵕ

䞡㽕ⱘ

⡍⚍

ᰃ੠೎ᅮⱘ

乘

ᳳᬊⲞ

⥛

៤ℷ↨Ǆ

བ

ᵰӏᛣ

೼᳝

ᬜ䖍⬠

Ϟ䗝ᢽϸϾ

䴲ܼ

ሔ

ᮍᏂ

᳔

ᇣ

㒘ড়ˈ䖭Ͼ៤ℷ↨ⱘ

⡍⚍Փᕫ

᠔᳝

᳝

ᬜ䖍⬠

Ϟⱘ㒘ড়

䛑

ৃҹ

䗮

䖛䖭ϸϾ䗝ᅮⱘ㒘ড়ᴹѻ⫳Ǆ䖭ህᰃϔϾ

݅

ৠ෎䞥ᅮ⧚ˈ

䗮

ᐌ

⿄

ЎѠ෎䞥ߚ

⾏

ᅮ⧚˄

Two Funds Separation Theorem

˅ǄѠ෎䞥ߚ

⾏

ᅮ⧚ᣛߎˈ

ሑㅵ

᳔

߱㒭

ᅮⱘᡩ䌘ᴎӮЁ᳝

n

Ͼ

ᏺ

亢䰽䌘ѻˈᇍϔϾᳳ

ᳯ

ؐ

-

ᮍᏂ

ᡩ䌘㗙ᴹ䇈ˈ

བ

ᵰা㒭Ҫ

ϸϾ᳝

ᬜ

㒘ড়

԰

Ў

ᏺ

亢䰽䌘ѻˈᡩ䌘ᴎӮ੠

ॳ

ᴹⱘ

n

Ͼ

ᏺ

亢䰽䌘ѻᰃᅠ

ܼ

ㄝৠⱘǄ

CAPM

ЁϔϾ

ᵕ

䞡㽕ⱘ

ὖᗉ

ᰃ Ǆ

೼䆆

ⱘᯊ

׭

ˈ៥Ӏ

ᖙ

乏

㒭

ᅮϸϾ᳝ᑣⱘ㒘

ড়

p

੠

q

˄ϡϔᅮ

ᕫ

᳝

ᬜ

˅Ǆ䖭Ͼ

ⱘᅮНᰃ㒘ড়

p

੠

q

ⱘ䱣ᴎᬊⲞ

⥛

ⱘ

णᮍᏂ

䰸

ҹ㒘ড়

q

ⱘ䱣ᴎᬊⲞ

⥛

ⱘ

ᮍᏂ

Ǆ❳

ᙝ

㒓

ᗻ

ಲ

ᔦ

ⱘ

䇏

㗙ৃ

㛑

Ꮖ㒣থ⦄䖭ህᰃऩϔ

ব

䞣㒓

ᗻ

ಲ

ᔦ

ⱘ

㋏᭄

Ǆᓩ

ܹ

䖭Ͼ

ὖᗉ

ҹ

ৢ

ˈᇍ

ӏ

ԩϔϾ

䴲ܼ

ሔ

᳔

ᇣᮍᏂ

᳝

ᬜ

㒘ড়

m

ˈ

៥Ӏৃҹ䆕ᯢ

ᄬ

೼

ଃ

ϔⱘϔϾ᳝

ᬜ

㒘ড়

z,

Փᕫ

Ǆ

гህᰃ䇈

䰸

њ

ܼ

ሔ

᳔

ᇣ

ᮍᏂ

᳝

ᬜ

㒘ড়ˈ

݊

ᅗⱘ᳝

ᬜ

㒘ড়

䛑

ᰃϔᇍϔᇍⱘˈ

↣

ϔᇍ

䞠

ⱘϸϾ㒘ড়ᰃϡⳌ݇ⱘǄ

䖯ϔ

ℹ

ˈ

↣

ϔᇍ

䞠

ⱘϸϾ㒘ড়ߚ

߿

໘ Ѣ

ܼ

ሔ

᳔

ᇣᮍᏂ

᳝

ᬜ

㒘ড়ⱘϸ

ջ

ǄᅗӀⱘϸϾ

乘

ᳳᬊⲞ

⥛

Ϣ

ܼ

ሔ

᳔

ᇣᮍᏂ

᳝

ᬜ

㒘ড়ⱘ

乘

ᳳᬊⲞ

⥛

ⱘ

䎱

⾏

ⱘ

Ь⿃

ᰃϔϾϡձ䌪Ѣ䖭

Ͼ

⡍

ᅮᇍⱘᐌ

᭄

ˈᑊ

Ϩ

ᅗӀⱘϸϾ䱣ᴎᬊⲞ

⥛

ⱘ

ᮍᏂ

ⱘ

䇗

੠

ᑇഛ

ℷ

ད

ᰃ

ܼ

ሔ

᳔

ᇣᮍ

Ꮒ

᳝

ᬜ

㒘ড়ⱘ

乘

ᳳᬊⲞ

⥛

ⱘ

ᮍᏂ

ⱘϸ

ס

Ǆ䖭ϸϾᗻ䋼

Ԑ

Т

᳾

᳒

೼᭛

⤂

Ёߎ⦄䖛Ǆ߽

⫼䖭ѯᗻ䋼ˈᇍ೎ᅮⱘϔϾϡⳌ݇㒘ড়ᇍ

m

੠

z

ˈৃҹ䆕ᯢ

ӏ

ԩϔϾ᳝

ᬜ

㒘ড়

p

ⱘ

䱣ᴎᬊⲞ

⥛䛑

ᰃ

m

੠

z

ⱘ䱣ᴎᬊⲞ

⥛

ⱘ

ࡴ

ᴗ

ᑇഛ

ˈ㗠ϸϾᴗ䞡

ᙄᙄ

ህᰃ

p

݇Ѣ

m

੠

z

ⱘ

ؐǄ䖭ህᰃ

Black

˄

1972

˅

䞠

ᦤߎⱘ

䳊

– CAPM

῵ൟǄҹϞⱘ䆕ᯢ

ᮍ⊩

Ӭ

Ѣ

ॳ㨫

Ё↨䕗෎ᴀ੠

⧤⹢

ⱘ

ᮍ⊩

Ǆ

⊼ᛣ䳊

– CAPM

῵ൟᅲ

䰙

ϞᰃϔϾ䱣ᴎᬊⲞ

⥛

ߚ

㾷

ᔶᓣǄ೼䖭Ͼߚ

㾷

ᔶᓣЁⱘϸϾ෎ህᰃ

m

੠

z

ⱘ䱣ᴎᬊⲞ

⥛

Ǆ

೼

䗮

ᐌᔶᓣⱘ

CAPM

䞠

ᰃ᳝

᮴ 亢䰽䌘ѻⱘǄ೼ᷛ

ޚᮍᏂ

-

乘

ᳳᬊⲞ

⥛ぎ䯈

Ё

᮴ 亢䰽䌘ѻ੠

ӏ

ԩ

݊

ᅗ䌘ѻⱘ᠔᳝㒘ড়ⱘ

䔼䗍

ᰃϔ

ᴵ

Ⳉ

㒓

Ǆ៥ӀᏆ

ⶹ

᠔᳝

ᏺ

亢䰽䌘

ѻ

㒭

ߎⱘ᳔Շᡩ䌘ᴎӮህᰃ᳝

ᬜ䖍⬠

Ǆ

಴ℸ

ˈ೼

ࡴܹ

ϔϾ

᮴ 亢䰽䌘ѻ

ৢ

ˈ᳔Շᡩ䌘

ᴎӮህ៤њϔ

ᴵ

Ϣ

ॳ

᳝

ᬜ䖍⬠

Ⳍ

ߛ

ⱘℷ

᭰

⥛

ⱘ

Ⳉ

㒓

Ǆ䖭

ᴵ

ߛ

㒓

ህᰃ᠔䇧ⱘ䌘ᴀᏖഎ

㒓

˄

capital market line

˅Ǆ䖭Ͼ

ߛ

⚍

Ϟⱘ㒘ড়ህᰃ᠔䇧ⱘᏖഎ㒘ড়

m

Ǆ᠔᳝ⱘᡩ䌘

㗙ˈϡ

ㅵҪ

Ӏⱘ亢䰽

ᛣ

ᜓ

བԩˈ

䛑

ৠ

ᛣ

ৠϔϾᏖഎ㒘ড়Ǆ

Ҫ

Ӏⱘϡৠ

⚍

ᰃ䗝ᢽϡৠ

ⱘ

᮴ 亢䰽㒘䌘ѻ

Ϣ

Ꮦഎ㒘ড়

П䯈

ⱘ↨

՟

Ǆ䖭ᰃ೼᳝

᮴ 亢䰽䌘ѻᯊⱘѠ෎䞥ᅮ⧚ˈ

䗮

ᐌ

ᡞ

ᅗ

⿄

Ў

䋻Ꮥ

Ꮦഎ෎䞥ߚ

⾏

ᅮ⧚˄

Money Market Fund Separation Theorem

˅Ǆ

ϔϾ㒘ড়ⱘ䱣ᴎᬊⲞ

⥛

Ϣ

᮴ 亢䰽䌘ѻⱘᬊⲞ

⥛

ⱘ

Ꮒ㹿

⿄

Ў

䍙

乱䱣ᴎᬊⲞ

⥛

˄

excess return

˅ǄϔϾ䌘ѻ៪㒘ড়ⱘ

乘

ᳳ

䍙

乱ᬊⲞ

⥛

Ϣ

ᅗⱘᷛ

ޚᮍᏂ

ⱘଚህᰃ

ऩ

ԡ

亢䰽

᡹

䝀

ˈг

⿄໣᱂

↨

⥛

˄

Sharpe ratio

˅Ǆ䌘ᴀᏖഎ

㒓

Ϟⱘ㒘ড়݋᳔᳝໻ⱘ

(7)

೼

ᄬ

೼

᮴ 亢䰽䌘ѻᯊˈϔ

㠀

ᇍ

䍙

乱䱣ᴎᬊⲞ

⥛

䖯㸠ߚ

㾷

Ǆ

ᕫࠄ

ⱘ

ᮍ⿟

ᓣህᰃ

㨫

ৡⱘ

CAPM

ᮍ⿟

ᓣˈབ

ϟ

᠔ ⼎˖

! " # (2.3)

䖭

䞠

_!

䖭

䚼

ߚᰃ

಴

Ў

ᡓᢙ

Ꮦഎ亢䰽㗠ᓩ

䍋

ⱘᬊⲞ

⥛

ˈ

ᰃϔϾ䌘ѻⱘ

⡍

ᅮ亢䰽ˈᅗ

Ϣ

䳊

Ⳍ݇ˈᑊ

Ϩ

ᳳ

ᳯ

ؐᰃ

0

Ǆ᠔ҹ

জ

㹿

⿄

Ў

䴲㋏

㒳ᗻ亢䰽˄

non-systematic risk

˅Ǆ

ᡓᢙ䴲㋏

㒳ᗻ亢䰽

া

๲

ࡴᮍᏂ

ˈԚϡᇍ

乘

ᳳᬊⲞ

⥛

᳝

ӏ

ԩⱘ

䋵⤂

Ǆ

ᇍϞᓣ

∖

ᳳ

ᳯ

ؐˈ៥Ӏথ⦄

乘

ᳳ

䍙

乱ᬊⲞ

⥛

Ϣ

៤ 㒓

ᗻ݇

㋏

ˈ䖭ህᰃ᠔䇧ⱘ䆕ࠌᏖ

എ

㒓

˄

security market line

˅Ǆ

೼

CAPM

ᮍ⿟

ᓣЁ᳝

ᬜ

㒘ড়

m

ᰃ⬅

੠

㒃

亢䰽䌘ѻ᳝

ᬜ䖍⬠

݅

ৠއᅮⱘǄ

ৃҹ䆕ᯢᅗⱘᴗ䞡৥

䞣

੠

_!

៤ℷ↨Ǆབ

ᵰ

ϡ

㗗

㰥

णᮍᏂⶽ䰉

ⱘ

䆱

ˈ৘

Ͼ

ॳ

ྟ䌘ѻ೼Ꮦഎ㒘ড়

䞠

ⱘ↨䞡੠ᅗӀⱘ

乘

ᳳ

䍙

乱ᬊⲞ

⥛

៤ℷ↨

,

䖭Ͼ

㒧ᵰヺ

ড়៥

Ӏⱘ

Ⳉ

㾝

Ǆ

೼

㒧

ᴳ

CAPM

ⱘ

ҟ㒡

ࠡˈ៥ᦤϔ

ϟ

೼ᑨ⫼Ё

ᕜ

᳝⫼ⱘ

޴

Ͼ

ᓊԌ

Ǆ೼

CAPM

Ё

m

ᰃϔϾ᳝

ᬜ

㒘ড়Ǆབ

ᵰ

៥Ӏ⫼ϔϾϡϔᅮᰃ᳝

ᬜ

㒘ড়ⱘ

⍜ᵕ

ᡩ䌘㒘ড়

p

ᴹҷ

᳓

ᅗ

Ӯ

ᗢḋ

ਸ਼˛

೼䖭⾡

ᚙމ

ϟ

བ

ᵰা㗗

㰥

᮴ 亢䰽䌘ѻ੠

p

П䯈

ⱘ㒘ড়ⱘ

䆱

ˈ៥Ӏ

া㛑ᕫ

ࠄ

ϔϾ䕗

ᇣ

ⱘ

໣᱂

↨

⥛

Ǆ

Treynor

੠

Black

˄

1973

˅ᓩ

ܹ

њ

⿃

ᵕㅵ

⧚㒘ড়ⱘ

ὖᗉ

Ǆ

䖭Ͼ

⿃

ᵕㅵ

⧚㒘ড়

a

ৃҹ

䗮

䖛᳔໻࣪

ֵᙃ

↨

⥛

˄

information ratio

˅

$

ᴹ

ᕫࠄ

Ǆ

Black

੠

Treynor

䖯ϔ

ℹ

䆕ᯢњϔϾ

࣒

㙵ᅮ⧚

" $ (2.4)

䖭Ͼ

ᮍ⿟

ᣛߎ

䗮

䖛

⿃

ᵕㅵ

⧚㒘ড়੠

⍜ᵕ

㒘ড়ϸ

ℹ

䍄

ˈ៥Ӏгৃҹ

ಲࠄॳ

ᴹⱘ䌘ᴀᏖ

എ

㒓

Ϟ

এ

Ǆ

ᤳ༅

ⱘ

໣᱂

↨

⥛

߮

ད

⬅

⿃

ᵕㅵ

⧚㒘ড়ⱘ

ֵᙃ

↨

⥛

㸹

ಲ

Ǆ

MacKinlay

˄

1995

˅߭ᣛߎ

ֵᙃ

↨

⥛

ᅲ

䰙

ϞгᰃϔϾ㒘ড়ⱘ

໣᱂

↨

⥛

ǄᇍϞ

䗄ᮍ⿟

ᓣгৃҹ⧚

㾷

Ў

m

⹂ᅲᰃ᳝

ᬜ

ⱘˈԚ෎䞥

ㅵ

⧚㗙ᢹ᳝

⾕

᳝

ֵᙃ

ˈ᠔ҹ

Ҫ

ৃҹ

ᕫࠄ

↨Ꮦഎ

໣᱂

↨

⥛᳈

催ⱘऩ

ԡ

亢䰽

᡹

䝀

Ǆ

Treynor

੠

Black

ॳ

᭛Ё

䞛

⫼

ৢ

ϔ⾡䕗

⣁

Нⱘ⧚

㾷

Ǆ঺

໪ϔϾ

CAPM

ⱘ

ᓊԌ

ᰃ

Black-Litterman

῵ൟ˄

Black

੠

Litterman

ˈ

1992

˅Ǆ䖭

䞠

෎䞥

ㅵ

⧚㗙гᢹ᳝

⾕

᳝

ֵᙃ

ˈԚ

Ҫ

߽⫼

䋱

৊ᮃ

˄

Bayesian

˅⧚䆎ᴹ

᳈ᮄ乘

ᳳᬊⲞ

⥛

৥

䞣

੠

णᮍᏂⶽ䰉

ˈ

✊

ৢ

ݡ

䖯㸠ᳳ

ᳯ

ؐ

-

ᮍᏂӬ

࣪Ǆ᳔

ৢ

ˈ೼

CAPM

Ё亢䰽ᰃ⫼

ᮍ

Ꮒ

ᴹ῵

ᢳ

ⱘˈ᳝Ⳍᔧϔ

䚼

ߚ

ⷨお

Ꮉ

԰

⫼

݊

ᅗ৘⾡亢䰽ⱘ

⌟

ᑺᴹҷ

᳓ᮍᏂ

ˈ↨བ෎

ሐ

㋏᭄

˄

Gini coefficient

˅ˈ

VaR

ˈㄝㄝǄ䖭

䞠

ϡ

԰䆺

㒚

ҟ㒡

Ǆ

༫߽ᅮӋ⧚䆎

ऩᳳⱘ

CAPM

Ё

া

᳝ϔϾ

಴

㋴

ˈ

䙷

ህᰃᏖഎⱘ䱣ᴎᬊⲞ

⥛

ǄԚᮽ೼

1966

ᑈˈ

King

˄

1966

˅ህ೼ᅲ䆕Ёথ⦄

䰸

њᏖഎ

಴

㋴

໪ˈᎹϮ

⬠಴

㋴

Ԑ

Т

гᕅડ䌘ѻⱘ

乘

ᳳ

(8)

༫

߽ᅮӋ⧚䆎˄

APT

˅੠

CAPM

ϡৠˈৃҹ᳝໮Ͼ

಴

㋴

Ǆᅗⱘ

؛

䆒г੠

CAPM

ϡৠˈϔ

㠀

ৃҹ

䅸

Ў

APT

ⱘ

؛

䆒

⿡ᖂ

ᔅ

ϔѯˈԚᰃҷӋᰃ

APT

ⱘ

㒧

䆎г

ᔅ

ϔ ѯ Ǆ ೼

APT

ⱘ থ ሩ 䖛

⿟

Ё

䍋

䞡㽕

԰

⫼ ⱘ ᭛

⤂

᳝

Ross

˄

1976

˅ ˈ

Huberman

˄

1982

˅ˈ

Chamberlain

੠

Rothschild

˄

1983

˅ˈ

Chamberlain

˄

1983

˅ˈ

Ingersoll

˄

1984

˅ˈҹঞ

Connor

˄

1984

˅Ǆ᳔ᮽⱘ

APT

ߎ⦄೼

Ross

ˈ

Ҫ

ᡞ

⧚䆎Ϲ

Ḑ

ഄᓎゟ

೼

ᖂ㾖

㒣⌢ⱘ෎⸔ϞˈԚᰃ

䇏

䖭

㆛

ॳ㨫

ᯊᗱ

䏃

ϡ

ᆍ

ᯧ⧚⏙Ǆ

Huberman

ᡞ

APT

ⱘ

᥼

ᇐ԰

њㅔ࣪Ǆㅔ࣪ⱘ㽕

㋴

ᰃᓩ䖯њ

⏤

䖯

༫

߽˄

asymptotic arbitrage

˅䖭Ͼ

ὖᗉ

Ǆ

Chamberlain

੠

Rothschild

ˈҹঞ

Chamberlain

䆺

㒚ഄ

㾷

䞞

њ

APT

ˈᳳ

ᳯ

ؐ

-

ᮍᏂ

ߚ

ᵤ

੠

಴

㋴

ߚ

ᵤ

П䯈

ⱘ݇

㋏

Ǆ

Ingersoll

ҹঞ

Connor

জᇍ

APT

ⱘ৘Ͼ

ᮍ

䴶

԰

њ

᳈

㒚㟈

ⱘ

ⷨお

Ǆ

݊

Ё

Ingersoll

Ң⧚䆎ϞϹ

Ḑ

ߚ

ᵤ

њ᠔䳔

಴

㋴

ⱘϾ

᭄

ˈᰃ

ᕜ

᳝

ਃ

থᗻⱘ᭛

ゴ

Ǆ

ϟ

䴶៥ㅔऩ

ҟ㒡

ϔ

ϟ

Huberman

˄

1982

˅ⱘЏ㽕

ⷨお㒧ᵰ

Ǆ

Ҫ㗗

㰥

ϔ

䖲

І

ⱘᏖ

എˈ

↣

ৢ

ϔϾᏖഎ↨ᅗࠡϔϾ໮ߎϔϾϡৠⱘ䌘ѻǄ೼

㄀

n

ϾᏖഎЁ᳝

n

Ͼ

ᏺ

亢䰽

䌘ѻˈԚᰃϡ

ㅵ

೼

ા

ϾᏖഎЁˈ᠔᳝䌘ѻⱘᬊⲞ

⥛

ҙҙ

⬅

k

Ͼ೎ᅮⱘ

಴

㋴

ѻ⫳Ǆ䖭

ᰃ

APT

䞠

᳔䞡㽕ⱘ῵ൟ

؛

䆒ˈ⫼

᭄

ᄺ

ᮍ⿟㸼⼎

བ

ϟ˖

% & " ' " # (2.5)

䖭

䞠

_%

ᰃ

n

Ͼ䌘ѻⱘᬊⲞ

⥛

৥

䞣

ˈ

_&

ᰃᅗӀⱘ

ᑇഛ

ᬊⲞ

⥛

৥

䞣

ˈ

_'

ᰃϔϾ

಴

㋴

ⶽ䰉

ˈᅗⱘ

↣

ϔϾ

߫

৥

䞣

ҷ

㸼

ϔϾ

಴

㋴

ˈ

㹿

⿄

Ў

಴

㋴䋳㥋

ⶽ䰉

ˈ

_#

ᰃϔϾ䱣ᴎ৥

䞣

Ǆ

Huberman

䖬

؛

䆒

'

ℷѸ

ᔦ

ϔˈҹঞ

#

ⱘ݇

㘨ⶽ䰉

ᰃᇍ

㾦

ⱘˈᑊ᳝ϔ㟈ⱘϞ

䰤

Ǆ

䖭ѯ

؛

䆒

䛑

ϡᰃ

ᖙ

䳔ⱘˈ㗠ᰃৃҹ

ᔅ

࣪Ǆ

APT

ⱘⳂⱘᰃ

ᇐ

ߎϔϾ

㾷

䞞

ᑇഛ

ᬊⲞ

⥛

_&

ⱘ῵ൟǄЎ䖒

ࠄ

䖭ϾⳂⱘˈ

Huberman

ᓩ䖯њϔϾ

⏤

䖯

༫

߽ⱘ

ὖᗉ

ǄϔϾᡩ䌘ㄪ⬹

೼䖭Ͼ῵ൟ

䞠

ᰃϔ

䖲

І

ⱘ৥

䞣

ˈ

↣

Ͼ৥

䞣

ᰃϔϾ೼

㄀

n

ϾᏖഎ

䞠

ⱘᡩ䌘㒘ড়Ǆབ

ᵰ

ϔϾᡩ䌘ㄪ⬹

c

೼᠔᳝Ꮦഎ

䞠䛑

ϡ䳔㽕

ӏ

ԩ

ޔ

ᡩ

ܹ

ˈԚᅗ೼

↣

ϾᏖഎ

䞠

ⱘ

ᑇഛ

ᬊⲞ

⥛

䍟৥Ѣℷ

᮴ か

ˈৠᯊᅗ೼

↣

ϾᏖഎ

䞠

ⱘ䱣ᴎᬊⲞ

⥛

ⱘ

ᮍᏂ

䍟৥Ѣ

䳊

ˈᅗህ

㹿

⿄

Ў

ϔϾ˄

⏤

䖯˅

༫

߽㒘ড়Ǆ

Huberman

Ё

≵

᳝ᦤঞˈԚ

༫

߽㒘ড়ⱘϸϾ݇Ѣ䱣ᴎᬊⲞ

⥛

ⱘᳳ

ᳯ

ؐ੠

ᮍᏂ

ⱘ

ᴵӊ

ৃҹㅔ࣪៤ϔϾ

ᴵӊ˖

བ

ᵰᄬ

೼ϔϾ

ޔ

ᡩ

ܹ

Ў

䳊

ⱘᡩ䌘ㄪ

⬹ˈᑊ

Ϩ

ᅗ᳝ϔϾ

ᄤ

ᑣ

߫

Փᕫᑇഛ

ᬊⲞ

⥛

Ϣ

ᷛ

ޚᮍᏂ

ⱘଚ䍟৥Ѣ

᮴ か

ˈ

䙷

М

Ꮦഎ

Ϟህ

ᄬ

೼

⏤

䖯

༫

߽㒘ড়Ǆ

䰸

এ

߮

ᓔྟⱘᏖഎ

㒧

ᵘ

ⱘ

؛

䆒ˈ

APT

ⱘ⧚䆎ᓎゟ೼

ଃ

ϔⱘϔϾ

؛

䆒

П

Ϟˈ

䙷

ህᰃᏖഎ

䞠

ϡ

ᄬ

೼

⏤

䖯

༫

߽Ǆ

APT

ⱘ

㒧

䆎ᰃ

˖

བ

ᵰ

Ꮦഎ

䞠

ϡ

ᄬ

೼

⏤

䖯

༫

߽ˈ

䙷

М

乘

ᳳᬊⲞ

⥛ᖙ

乏

䖥

Ԑ

ഄ

⒵䎇

ϔϾ

㒓

ᗻ݇

㋏

ˈ

гህᰃ䇈ˈ

ᑇഛ

ᬊⲞ

⥛

ৃҹ䖥

Ԑ

⫼ᐌ

᭄

৥

䞣

੠

_'

Ёⱘ৥

䞣

ᴹ

㸼⼎

Ǆབ

ᵰՓ

⫼ҹϞⱘㅔ࣪

ᴵӊ

ˈ

APT

ⱘ

᥼ᇐ݊

ᅲⳌᔧⱘㅔ

ऩǄϔ

㠀

Փ

⫼ড䆕

⊩

Ǆ

؛

䆒

ᑇഛ

ᬊⲞ

⥛

ϡ䖥

Ԑ

ഄ

⒵䎇

Ϟ

䗄㒓

ᗻ݇

㋏

Ǆབ

ᵰ

៥Ӏ

ᡞ

৥

䞣

_&

ᡩᕅ

ࠄ

⬅ᐌ

᭄

৥

䞣

੠

_'

Ёⱘ৥

䞣

ᵘ

៤ⱘ

ᄤぎ䯈

Ϟˈ

䙷

М

ৃҹ䆕ᯢ

ಲ

ᔦ⅟

Ꮒ

৥

䞣

(9)

APT

੠

CAPM

ᰃᓎゟ೼ϡৠ

؛

䆒

П

ϞⱘϸϾϡৠⱘ⧚䆎ˈϹ

Ḑ

Ϟ䇈ϡ

㛑

䖛Ѣ

ㅔऩഄ䖯㸠↨䕗ǄԚབ

ᵰ

៥Ӏ೼

APT

Ё

ᗑ

⬹Ā

⏤

䖯ā䖭Ͼ䞡㽕ⱘ

؛

䆒ˈ

䙷

М

CAPM

ৃҹㅔऩഄ

ⳟ

៤ᰃ

APT

ⱘϔϾ

⡍՟

Ǆ

⍜䌍䌘ᴀ䌘ѻᅮӋ῵ൟ

⍜䌍䌘ᴀ䌘ѻᅮӋ῵ൟҹঞ

ҹঞ

ҹঞ䎼ᳳ䌘ᴀ䌘ѻᅮӋ῵ൟ

ҹঞ

䎼ᳳ䌘ᴀ䌘ѻᅮӋ῵ൟ

⍜䌍

䌘ᴀ䌘ѻᅮӋ῵ൟ˄

CCAPM

˅ҹঞ

䎼

ᳳ䌘ᴀ䌘ѻᅮӋ῵ൟ˄

ICAPM

˅ᰃ

೼

CAPM

੠

APT

П

໪ϸϾ↨䕗᳝ᕅડ

࡯

ⱘ῵ൟǄᅗӀৃҹ

㹿

ⳟ

៤ᰃ

CAPM

ⱘ

⡍՟

ঞ

᥼ᑓ

Ǆ೼

CCAPM

Ёˈ

⍜䌍

੠ᡩ䌘㒘ড়

㹿

ϔ

䍋㗗

㰥

Ǆ

ICAPM

߭ᰃ

㗗

㰥

໮ᳳⱘ῵

ൟˈ䖭ѯ῵ൟৃҹᰃ

⾏ᬷ

ᯊ

䯈

໮ᳳⱘˈ

гৃҹᰃ

䖲㓁

ᯊ

䯈

໮ᳳⱘǄ䖭ϸϾ῵ൟᑊ

ϡᰃϔϾ೎ᅮⱘ

ᄸ

ゟⱘ῵ൟˈ㗠ᰃϸϾ໻ḚᶊǄ

CCAPM

੠

ICAPM

ᑊϡᅠ

ܼѦ

Ⳍ

ᥦ

᭹

Ǆ

CCAPM

ৃҹᰃ

䎼

ᳳⱘˈ

ICAPM

гৃҹࣙ

৿

⍜䌍

䖭Ͼ

಴

㋴

Ǆ⬅Ѣ䖭ϸϾ῵

ൟ㒣ᐌᰃ

Դ

Ё᳝៥ˈ៥Ё᳝

Դ

ˈ᠔ҹ៥Ӏϔᑊ

ҟ㒡

Ǆ

ᮽ೼

1928

ᑈˈ

Ramey

˄

1928

˅ህ

㗗

㰥

њϔϾ

䎼

ᳳ

⍜䌍

䌘ᴀ䌘ѻᅮӋ῵ൟǄ

ሑ

ㅵҪⷨお

њ໮ᳳ῵ൟˈ

Ԛ

Ҫা㗗

㰥

ऩϔ೎ᅮᬊⲞ

⥛

䌘ѻǄ

Ⳉ

ࠄ

޴

क

ᑈҹ

ৢ

ˈ

Mossin

˄

1968

˅

, Samuelson

˄

1969

˅੠

Merton

˄

1969

˅

ᠡ

㛑

໳

㾷

އ

ᏺ

䱣ᴎᗻⱘ໮

ᳳⱘ

⍜䌍

੠䌘ѻ㒘ড়

䯂

乬Ǆ

⿡ৢ

ⱘ῵ൟ㒣ᐌᰃ

䖲㓁

ᯊ

䯈

໮ᳳⱘˈ

↨བ

Merton

˄

1971

˅ҹ ঞ

Merton

˄

1973

˅Ǆ

䞡㽕ⱘ᭛

⤂

䖬ࣙ ᣀ

Lucas

˄

1978

˅

, Breeden

˄

1979

˅

, Cox, Ingersoll

੠

Ross

˄

1985

˅

,

ҹঞ

Cox

੠

Huang

˄

1989

˅ǄϔϾ↨䕗

᱂䘡

ⱘ

㒧ᵰ

ᰃ

䎼

ᳳ

⍜䌍

䌘ᴀ䌘ѻᅮӋ῵ൟϔ

㠀

Ӯ

ᇐ

ߎ໮

಴

㋴

䱣ᴎᬊⲞ

⥛

῵ൟǄ

݊

Ё

Ꮦഎ㒘 ড়Ӯᰃ ϔϾ

಴

㋴

ˈ঺ ໪

䩜

ᇍ

↣

ϔϾ 䱣ᴎ

⢊

ᗕ

ব

䞣

ϔ

㠀

䛑

Ӯ᳝ϔ Ͼᇍ

ކ

˄

hedge

˅

಴

㋴

Ǆ

಴ℸ

೼ᔶᓣϞ

ICAPM

੠

APT

䕗㉏

Ԑ

Ǆ

՟

໪ᰃᇍ

᭄ᬜ

⫼

ߑ᭄

˄

log

utility

˅ⱘ

⡍

⅞ᚙމ

ϟ

ˈᡩ䌘㗙㒣ᐌӮ᳝

ᗑ

⬹䱣ᴎ

⢊

ᗕ

ব

䞣

ⱘ

ⷁ㾚

˄

myopic

˅㸠Ўˈ

಴ℸ

ऩ

಴

㋴ҡᮻ

៤ゟǄ

೼

CCAPM

Ёˈ䌘ѻⱘ

ᑇഛ

ᬊⲞ

⥛㹿ᭈ

Ͼ㒣⌢Ёⱘ

ᘏ⍜䌍

ⱘ៤

䭓

⥛

᠔އᅮˈ

гህᰃৃҹ

䅸

Ўˈ೼

CCAPM

Ёˈ

CAPM

ЁⱘᏖഎᬊⲞ

⥛

੠ᇚᴹ

⍜䌍

ⱘ

䖍

㓬

ᬜ

⫼

ߑ

᭄

ᰃᅠ

ܼ

䋳

Ⳍ݇ⱘǄ೼䖭ϔ

⚍

Ϟˈৃҹ

䅸

Ў

CCAPM

ᰃ

CAPM

ⱘ

⡍՟

ǄԚ

CCAPM

ৃҹᰃ

䎼

ᳳⱘˈ䖭ϔ

⚍

ৃҹ

ⳟ

៤ᰃ

CAPM

ⱘ

᥼ᑓ

Ǆ঺໪ˈ᳔ㅔऩⱘ

CCAPM

˄

Breeden

ˈ

1979

˅

ৃҹ

ⳟ

៤ᰃϔϾㅔ࣪њⱘ

ICAPM

῵ൟˈ

ᅗ

ᡞ

ϔϾ໮

಴

㋴

ⱘ

ICAPM

῵ൟ⫼ϔϾ

⍜䌍಴

㋴

ὖ

ᣀњǄ䖭⾡ㅔ࣪ⱘḍᴀ

ॳ಴

ᰃᮽᳳⱘ῵ൟϔ

㠀

Փ

⫼

ᯊ

䯈

Ϟৃߚ

ᢚ

˄

time-separable

˅ⱘ

ᬜ

⫼

ߑ᭄

Ǆ

㾷

ICAPM

῵ൟ

䗮

ᐌ᳝ϸ⾡

ᡔᎻ

ˈϔ⾡ᰃ

ࡼᗕ

㾘ߦ

˄

dynamic programming

˅ˈ

ϔ⾡ᰃ

䵙

䖛

⿟

˄

martingale approach

˅Ǆ೼

ࡼᗕ

㾘ߦ

Ёˈ

㾷

῵ൟⱘ䖛

⿟

ᰃҢ᳔

ৢࠄ

᳔ࠡˈ

े

᠔䇧ⱘ

צ

৥

ᔦ㒇

˄

backward induction

˅Ǆ೼

⾏ᬷ

ᯊ

䯈

῵ൟЁˈ

↣

ϔ

ℹ䛑

៤ ЎњϔϾऩᳳ῵ൟǄ೼

䖲㓁

ᯊ

䯈

Ёˈ㉏

Ԑ

ⱘ

᥼ᇐ

ৃҹ

ᕫ

ߎ᳝ৡⱘ

Bellman

أ

ᖂ

ߚ

ᮍ

⿟

Ǆ

Bellman

ᮍ⿟

ϔ

㠀

ᰃ

䴲㒓

ᗻⱘᑊ

ᕜ

ᇥ

᳝

㾷

ᵤ

㾷

ˈԚৃҹ⫼

᭄

ؐ

㾷⊩

Ǆ

䵙

䖛

⿟

ᮽ

ᳳ᭛

⤂

Џ㽕ᰃ

Pliska

˄

1986

˅

, Karatzas, Lehoczky

੠

Shreve

˄

1987

˅

,

ҹঞ

Cox

੠

Huang

˄

1989

˅Ǆ䖭⾡

ᮍ⊩

ϔ

㠀

䳔㽕

؛

䆒Ꮦഎᰃᅠ

ᭈ

ⱘˈԚ

He

੠

Pearson

˄

1991

˅

(10)

њⱘᡩ䌘㒘ড়ⱘӋؐˈ㗠

⍜䌍

ህⳌᔧѢ䖭Ͼᡩ䌘㒘ড়ⱘ

㑶

߽Ǆ߽⫼䱣ᴎ

ᡬ

ᠷ

಴ᄤ

ⱘ

ὖᗉ

ˈ䋶ѻৃҹ

㸼⼎

៤᳾ᴹ

㑶

߽

⌕

䞣

ⱘ⦄ᯊӋؐǄ

Փ

⫼䖭Ͼ

乘

ㅫ

㑺ᴳ

˄

budget

constraint

˅

ᮍ⿟

ᓣˈ໮ᳳⱘᡩ䌘

⍜䌍䯂

乬

㹿

ⓨ

࣪៤ϔϾ݇Ѣ᳔Շ

⍜䌍

䗨ᕘ

ⱘ

ব

ߚ

䯂

乬˄

variational problem

˅Ǆ䖭Ͼ

ব

ߚ

䯂

乬ⱘ

㾷䗮

ᐌӮᓩ

ᇐ

㟇

ϔϾ

㒓

ᗻⱘ

أ

ᖂ

ߚ

ᮍ⿟

Ǆ

⬅Ѣᰃ

㒓

ᗻⱘˈ䖭Ͼ

ᮍ⿟

ৃ

㛑

Ӯ↨

Bellman

ᮍ⿟᳈ᆍ

ᯧ

㾷

Ǆ᳔Շᡩ䌘㒘ড়ⱘ↨

՟

߭

ϔ

㠀

೼

㾷

ߎ

⍜䌍

䏃ᕘ

੠䋶ѻ

ৢ

ݡ

ऩ⣀

㾷

އǄ

ˏ

ˏˊ

ˊ

䖥ᳳ

䖥ᳳ䞡㽕

䖥ᳳ

䞡㽕

䞡㽕⧚䆎ঞ

䞡㽕

⧚䆎ঞ

⧚䆎ঞᡔᎻ

⧚䆎ঞ

ᡔᎻ

䱣ᴎᡬ⦄಴ᄤ

䱣ᴎᡬ⦄಴ᄤ˄

䱣ᴎᡬ⦄಴ᄤ

˄

Stochastic Discount Factor

˅

䱣ᴎ

ᡬ

⦄

಴ᄤ

ᰃϔϾ

⡍

⅞

ⱘ䱣ᴎ

ব

䞣

ᅗৃҹ

㒭

ߎᏖഎϞ᠔᳝䌘ѻⱘӋ

Ḑ

Ǆ

ҹऩᳳ῵ൟЎ

՟

ˈབ

ᵰ

ϔϾ䌘ѻⱘ䱣ᴎᬊⲞᰃ

_%

䙷

М

ᅗⱘӋ

Ḑ

ህ⬅݀ᓣ

_%

㒭

ߎǄᇍ

ӏ

ԩ䱣ᴎᬊⲞ

⥛

㗠㿔ˈ᳝߭

Ǆ᠔᳝䌘ѻᅮӋ⧚䆎ৃҹ

䗮

䖛䱣ᴎ

ᡬ

⦄

಴ᄤ

ᴹ

ᦣ䗄

Ǆ

џ

ᅲϞˈ

Cochrane

˄

2001

˅ҹঞ

Shefrin

˄

2008

˅

䖭ϸ

䚼

䆎

㨫䗮

㆛

䛑Փ

⫼䱣ᴎ

ᡬ

⦄

಴ᄤ

䖭⾡

䇁

㿔Ǆ

䱣ᴎ

ᡬ

⦄

಴ᄤ

ⱘ

ᄬ

೼ᗻˈ

㒓

ᗻ

Ϣ

৺ˈ

ଃ

ϔᗻˈߚ

䞣

ⱘℷ

䋳

ᗻˈऩ

䇗

ᗻˈ

ᮍᏂ

㒧

ᵘ

ˈ

಴

㋴

㒧

ᵘ

ㄝ

䛑

Ϣ

Ꮦഎⱘ

㒧

ᵘᆚߛ

Ⳍ݇Ǆ↨བ䇈ˈ೼᳝

䰤㓈

ऩᳳ䌘ѻᏖഎЁˈ

ऩϔӋ

Ḑ⊩

߭އᅮ䱣ᴎ

ᡬ

⦄

಴ᄤ

ᰃ

㒓

ᗻⱘ

˗

Ꮦഎᰃᅠ

ᭈ

ⱘˈᔧ

Ϩҙ

ᔧ䱣ᴎ

ᡬ

⦄

಴ᄤ

ᰃ

ଃ

ϔⱘ

˗

ϔϾᅠ

ᭈ

ᏖഎЁ

≵

᳝

༫

߽ˈজᔧ

Ϩҙ

ᔧ䱣ᴎ

ᡬ

⦄

಴ᄤ

ⱘ৘Ͼߚ

䞣䛑

ЎϹ

Ḑ

ℷ

˗

ᔧ䱣ᴎ

ᡬ

⦄

಴ᄤ

ϡ

ଃ

ϔᯊˈ

ᄬ

೼㗠

Ϩҙ

ᄬ

೼

ଃ

ϔϔϾ

㹿

Ѹᯧⱘ䱣ᴎ

ᡬ

⦄

಴ᄤ

Ǆ

䱣ᴎ

ᡬ

⦄

಴ᄤ

ⱘ䞡㽕ᗻᰃϡ㿔㗠ஏⱘǄ

՟

བˈ೼

ᬜ

⫼

ߑ᭄

῵ൟЁˈᅗ

Ϣ

䖍

㓬

ᬜ

⫼

Ⳉ

᥹

Ⳍ݇Ǆ೼

CCAPM

Ёᅗ੠

⍜䌍

ⱘ

๲䭓

⥛

Ⳉ᥹

Ⳍ݇Ǆ೼

ᶤ

⾡

ᛣ

НϞˈϡৠⱘ䌘ѻᅮ

Ӌ῵ൟৃҹ

㹿䅸

Ўᰃ೼

ⷨお

ϡৠⱘ䱣ᴎ

ᡬ

⦄

಴ᄤ

Ǆ

Hansen-Richard

ᬊⲞ⥛ߚ㾷

Chamberlain

੠

Rothschild

˄

1983

˅䆕ᯢˈ

䳊

– CAPM

ৃҹ

㹿

ⳟ

៤ Ꮰᇨԃ⡍ぎ

䯈

ⱘ

Ⳉ

੠ˈԚ៥Ӏ䳔㽕ϔ⾡↨䕗

⡍

⅞

ⱘ

णᮍᏂݙ

⿃

˄

inner product

˅Ǆ೼䖭⾡Ḛᶊ

ϟ

ˈ

ӏ

ԩ 䌘 ѻ ⱘ 䱣 ᴎ ᬊ Ⲟ

⥛

ᰃ

Ꮰ ᇨ ԃ ⡍ ぎ䯈

Ё ⱘ ϔ Ͼ ৥

䞣

ˈ ৃ ҹ ⫼ ᡩ ᕅ

˄

projection

˅ᴹߚ

㾷

៤ᐌ

᭄

৥

䞣䚼

ߚˈᏖഎ䱣ᴎᬊⲞ

⥛䚼

ߚˈҹঞϔϾ

⅟

Ꮒ

৥

䞣

˄

residual vector

˅Ǆ䖭

ϝ

Ͼߚ

䞣

೼

Ꮰᇨԃ⡍ぎ䯈

Ё

Ѧ

Ⳍ

ൖⳈ

Ǆ䖭⾡

ᡞ

CAPM

䅸

Ў

ᰃϔ⾡৥

䞣

ⱘ

ൖⳈ

ߚ

㾷

ⱘ

㾖⚍

೼䞥㵡ᄺЁᑊϡᰃ

Ӵ

㒳ⱘ

㾖⚍

ˈϔ

㠀

ⱘ

ᬭ

⾥

к䛑

ᡞ

CAPM

ᦣ䗄

៤ᰃϔϾ

㒓

ᗻ

ಲ

ᔦ

ˈ

಴ℸϝ

Ͼߚ

䞣

ᕐ

ℸ

ᰃ

䳊णᮍᏂ

Ǆ䖭ϸ⾡ϡৠⱘ

㾖

⚍䛑

ᰃ

ᕜࡽ

Ѣ

CAPM

ⱘ⧚

㾷

ⱘǄ

݊

Ё

㄀

ϔ⾡

㾖⚍

䌟ќ

њ

CAPM

޴

ԩ

ᛣ

Нˈ

಴ℸՓ

ᕫᕜ

໮

ὖᗉ

ব

ᕫ

Ⳉ

㾖

Ǆ↨བ䌘ѻ㒘ড়ⱘ᳝

ᬜ䖍⬠

೼Ϟ

䗄Ꮰᇨԃ⡍ぎ䯈

Ёᰃϔ

ᴵ

Ⳉ

㒓

Ǆ

䱣ᴎ

ব

䞣

ᵘ

៤ⱘ

Ꮰᇨԃ⡍ぎ䯈

ⱘ

䗮

ᐌ

ݙ

⿃

ᅲ

䰙

Ϟᑊϡᰃ

णᮍᏂݙ

⿃

ˈ

㗠ᰃ

Ь

⿃

ݙ

⿃

˖

₍ ₎

Ǆ

Փ

⫼䖭⾡

ݙ

⿃

ᇐ

㟈঺ϔ⾡ϡৠⱘ䱣ᴎᬊⲞ

⥛

ⱘߚ

㾷ᮍ

ᓣˈ

䖭ህᰃ

Hansen-Richard

ᬊⲞ

⥛

ߚ

㾷

Ǆ

⊼ᛣ

೼

Hansen

੠

Richard

˄

1987

˅Ё

԰

㗙Ӏ䖬

(11)

Ͼ䌘ѻⱘ䱣ᴎᬊⲞ

⥛㹿

ߚ

㾷

៤ ϝ

Ͼ

䚼

ߚǄ

㄀

ϔϾ

䚼

ߚᰃϔϾᇍ᠔᳝䌘ѻ

䛑

Ⳍৠⱘ䱣

ᴎᬊⲞ

⥛

ˈᅗ੠䱣ᴎ

ᡬ

⦄

಴ᄤ

៤ℷ↨Ǆ

㄀

ѠϾ

䚼

ߚⱘ෎৥

䞣

ϔ

㠀প

ᐌ

᭄

৥

䞣

೼

䍙

乱

ᬊⲞ

⥛ぎ䯈

ϞⱘᡩᕅǄ

㄀ϝ

Ͼ

䚼

ߚᰃϔϾ

⅟

Ꮒ

৥

䞣

Ǆ䖭

ϝ

Ͼ

䚼

ߚ೼ҹ

Ь⿃

Ў

ݙ

⿃

ⱘ

ぎ䯈

Ё

Ѧ

Ⳍ

ൖⳈ

Ǆ

Hansen-Richard

ᬊⲞ

⥛

ߚ

㾷

೼

㾷

އ

ᶤ

ѯ

䯂

乬Ё↨

CAPM

ߚ

㾷᳈ࡴ

ᮍ֓

ˈ

՟

བ

Hansen

੠

Richard

ҹঞ

Cochrane

੠

Saa-Requejo

˄

2000

˅Ǆ

䗮

ᐌ೼

Փ

⫼

Hansen-Richard

ᬊⲞ

⥛

ߚ

㾷

ᯊˈӮৠᯊ

Փ

⫼

Hansen-Richard

䱣ᴎ

ᡬ

⦄

಴ᄤ

ߚ

㾷

Ǆ

Hansen-Richard

䱣ᴎ

ᡬ

⦄

಴ᄤ

ߚ

㾷

੠

Hansen-Richard

ᬊⲞ

⥛

ߚ

㾷ᵕ݊

㉏

Ԑ

ˈ

া

ϡ䖛

೼ߚ

㾷

䱣ᴎ

ᡬ

⦄

಴ᄤ

Ёˈ

㄀

ѠϾ

䚼

ߚⱘ෎ϔ

㠀প

ᐌ

᭄

৥

䞣

೼

䍙

乱䱣ᴎ

ᡬ

⦄

಴ᄤぎ䯈

ϞⱘᡩᕅǄ

Hansen-Jaganathan

䖍⬠

ᇍϔϾᏖഎ

㒧

ᵘ

ˈ

㗗

㰥

ӏᛣ

ϸϾϡৠⱘ䱣ᴎ䌘ѻᬊⲞ

⥛

_*₊

੠

_*_,

ҹঞ᠔᳝ৃ㸠

ⱘ䱣ᴎ

ᡬ

⦄

಴ᄤ

_-

ˈৃҹ䆕ᯢ

./

0 1

1

(3.1)

䖭ህᰃ

㨫

ৡⱘ

Hansen-Jaganathan

˄

1991

˅

䖍⬠

ǄЎњ

᳈

⏙

Ἦ

ഄ⧚

㾷

Ϟᓣˈ៥

Ӏৃҹ

㗗

㰥

ϔϾᅠ

ᭈ

ⱘᏖഎˈ

಴ℸ

ᏖഎϞ

ᄬ

೼

᮴ 亢䰽䌘ѻˈᑊ

Ϩ

ҹঞ᠔᳝ৃ㸠ⱘ䱣

ᴎ

ᡬ

⦄

಴ᄤ

ᰃ

ଃ

ϔⱘǄ

Ꮊ

ᓣ

಴ℸ

ህᰃᏖഎⱘ

Sharpe

಴ᄤ

ˈгህᰃऩ

ԡ

亢䰽

㛑ᕫ

ࠄ

ⱘ᳔໻

ಲ᡹

Ǆ

Hansen-Jaganathan

䖍⬠

⫼䱣ᴎ

ᡬ

⦄

಴ᄤ㒭

ߎњ

Sharpe

಴ᄤ

Ǆ೼

᱂ 䘡ᚙމ

ϟ

ˈϡϔᅮ

ᄬ

೼

᮴ 亢䰽䌘ѻˈ䱣ᴎ

ᡬ

⦄

಴ᄤ

гϡ

ଃ

ϔǄ⫼

Hansen-Richard

ᬊ

Ⲟ

⥛

ߚ

㾷

ҹঞ䱣ᴎ

ᡬ

⦄

಴ᄤ

ߚ

㾷

ৃҹ

ᕜᮍ֓

ഄ

ᕫࠄ

ㄝᓣⱘϸ

䖍

ҔМ

ᯊ

׭প

ࠄᵕ

ؐˈ

䖭

䞠

Ң⬹Ǆ঺໪ˈ

Hansen-Richard

ᬊⲞ

⥛

ߚ

㾷

г

䅽

៥Ӏৃҹ

Ⳉ

㾖

ഄ೼

Ꮰᇨԃ⡍ぎ䯈

ЁԧӮ

Hansen-Jaganathan

䖍⬠

ⱘ

޴

ԩ

ᛣ

НǄ

Hansen-Jaganathan

䖍⬠

ⱘϔϾ᳔

Ⳉ᥹

ⱘᑨ⫼ᰃ⫼ᴹ䆘Ԅϡৠⱘ䌘ѻᅮӋ῵ൟǄ

খ

㾕

Hansen, Heaton

੠

Luttmer

˄

1995

˅

,

ҹঞ

Hansen

੠

Jaganathn

˄

1997

˅Ǆϡৠ

ⱘ䌘ѻᅮӋ῵ൟӮ

㒭

ߎϔ

㋏

߫

ৃ㸠ⱘ䱣ᴎ

ᡬ

⦄

಴ᄤ

Ǆ

಴ℸ

៥Ӏৃҹ䅵ㅫ

Hansen-Jaganathan

䖍⬠

ˈᑊ

Ϩ

੠Ꮦഎⱘ

Sharpe

಴ᄤ

䖯㸠↨䕗Ǆབ

ᵰ

Ўњ

㒭

ߎড়⧚ⱘ

Sharpe

಴ᄤ

ˈ῵ൟЁⱘ

খ᭄

ህϡ

ヺ

ড়ᳳ

ᕙ

ⱘℷᐌؐˈ

䙷

М

῵ൟህϡᰃ

䎇

໳

ⱘǄ݇Ѣ䆘Ԅ䌘

ѻᅮӋ῵ൟⱘ䞡㽕᭛

⤂

䖬ࣙᣀ

Snow

˄

1990

˅

, Bansal

੠

Viswanathan

˄

1993

˅

,

ҹ

ঞ

Jaganathan

੠

Wang

˄

1996

˅Ǆ঺໪೼

ℸ乎֓

ᣛߎˈ䆘Ԅ䌘ѻᅮӋ῵ൟⱘ঺ϔϾ

䞡㽕

᠟↉

ᰃ

Ẕ偠

Euler

ᮍ⿟

Ǆ

བ

ᵰ

ϔϾ䌘ѻᇚᴹ

ᕫ

ᬊⲞᅠ

ܼ

ϡঞ঺ϔϾᡩ䌘㒘ড়ˈ

䙷

М

ᅗⱘӋ

Ḑ

ᑨᔧ

Ԣ

Ѣ

䖭Ͼ㒘ড়ⱘӋ

䫀

Ǆ䖭ህᰃ

᮴༫

߽

䖍⬠

˄

no-arbitrage boundary

˅Ǆ

Hansen-Jaganathan

䖍⬠

ৃҹ䇈ᰃ݇Ѣ

᮴༫

߽

䖍⬠

ⱘϔϾ

㒧

䆎ǄԚ೼

䗮

ᐌ

ᚙމ

ϟ

ˈ

᮴༫

߽

䖍⬠

㒣ᐌ

໾ᆑ

ˈ

ҹ

㟇

Ѣϡ

໾

ᅲ⫼Ǆ

Cochrane

੠

Saa-Requejo

˄

2000

˅

㗗

㰥

ऩᳳˈ໮ᳳˈҹঞ

䖲㓁

ᯊ

䯈

ⱘ

ད

Ѹᯧ˄

good deal

˅

䖍⬠

Ǆ೼ৠϔᳳ

ߞ

⠽Ёˈ

Bernardo

੠

Ledoit

˄

2000

˅

㗗

㰥

(12)

↨

᮴༫

߽

䖍⬠

㋻

Ǆ᳔䖥ˈ

ⷨお

㗙г

㗗

㰥

њ৘⾡

݊

ᅗⱘ

䴲᮴༫

߽

䖍⬠

Ǆ৘⾡

䖍⬠

ϔ

㠀

ᓩ

ܹ

ϡৠⱘ

㑺ᴳ

ᴵӊ

ˈ

಴ℸᕜ䲒

᱂䘡

ഄ↨䕗৘⾡

䖍⬠

ⱘ

Ӭ㔎⚍

Ǆ

亢䰽ЁᗻᅮӋ

亢䰽ЁᗻᅮӋ˄

亢䰽ЁᗻᅮӋ

˄

Risk-neutral Pricing

˅

˅ҹঞ݊ᅗ⌟ᑺবᤶᮍ⊩

˅

ҹঞ݊ᅗ⌟ᑺবᤶᮍ⊩

亢䰽ЁᗻᅮӋ⧚䆎ᑊϡᰃ

ᄸ

ゟഄথሩ

䍋

ᴹⱘǄ

џ

ᅲϞˈ

ेՓ

ᰃऩᳳⱘ

CAPM

гৃҹ⫼亢䰽ЁᗻᅮӋ⧚䆎ᴹ

ᦣ䗄

Ǆ⧚䆎ⱘᓎゟЁˈЏ㽕᭛

⤂

᳝

Cox

੠

Ross

˄

1976

˅

, Harrison

੠

Kreps

˄

1979

˅

,

ҹঞ

Harrison

੠

Pliska

˄

1981

˅Ǆ঺໪ˈ

Cox

ˈ

Ross

੠

Rubinstein

˄

1979

˅

㗗

㰥

њѠঝ

ᷥ

˄

binomial tree

˅ᳳᴗ῵ൟǄ䖭Ͼㅔऩⱘ

῵ൟᇍ⧚

㾷

亢䰽ЁᗻᅮӋ⧚䆎

ᵕ݊

᳝⫼Ǆ

㨫

ৡⱘ

Black-Scholes

˄

Black

੠

Schole, 1973

˅ᳳᴗ῵ൟгৃҹ⫼亢䰽ЁᗻᅮӋ⧚䆎ᴹ

ᦣ䗄

Ǆ

೼

Փ

⫼䱣ᴎ

ᡬ

⦄

಴ᄤ

ⱘ῵ൟЁˈ䌘ѻⱘӋ

Ḑ

ᰃ⬅ᇚᴹⱘᬊⲞ੠䱣ᴎ

ᡬ

⦄

಴ᄤ

ⱘ

ݙ

⿃

㒭

ߎⱘǄ䖭Ͼ

ݙ

⿃

ᰃ೼⠽⧚

⌟

ᑺˈгህᰃᅲ

䰙

⫳

⌏

Ёⱘ

⌟

ᑺ

Пϟ

ⱘᳳ

ᳯ

Ǆߚ

ϸ

ℹ

ⳟ

ˈ៥Ӏ

ܜ

೼⠽⧚

⌟

ᑺ

ϟ

䅵ㅫ᳾ᴹᬊⲞⱘᳳ

ᳯ

ؐˈ

✊

ৢ

ݡ

⫼亢䰽

䇗ᭈ

䖛ⱘ

ᡬ

ᠷ

⥛

ᴹ䅵ㅫ⦄೼ⱘӋ

Ḑ

Ǆ῵ൟⱘ

ೄ䲒

ᐌᐌ೼䅵ㅫ亢䰽

䇗ᭈ

䖛ⱘ

ᡬ

ᠷ

⥛

ˈ

಴

Ў䖭Ͼ

ᡬ

ᠷ

⥛

ᇍϡৠⱘ䌘ѻᰃϡৠⱘǄ೼亢䰽ЁᗻᅮӋЁˈ៥Ӏ⫼

᮴ 亢䰽

ᡬ

ᠷ

⥛

ᴹ

ᡬ

ㅫ

ӏ

ԩ䌘ѻⱘᳳ

ᳯ

ؐǄ

಴

Ў䖭Ͼ

ॳ಴

ˈ

ӏ

ԩ䌘ѻ

䛑㹿

㾚

Ўϡ

ᏺӏ

ԩ亢䰽ˈ

಴ℸ

䖭⾡

ᮍ⊩

㹿

⿄

Ў亢䰽ЁᗻᅮӋǄҷӋᰃ៥Ӏϡ

㛑

⫼⠽⧚

⌟

ᑺᴹ䅵ㅫᳳ

ᳯ

ؐˈ㗠ᰃ

ᕫՓ

⫼亢䰽

Ёᗻ

⌟

ᑺǄৃҹ

䅸

Ўˈᇍ

↣

Ͼ䌘ѻ㗠㿔ˈ䖭Ͼ

⌟

ᑺᰃ⫼亢䰽

䇗ᭈ

䖛ⱘϔϾ

⌟

ᑺǄԚ

ᅲ

䰙

ᏖഎϞ亢䰽Ёᗻ

⌟

ᑺᐌᐌᰃ

ଃ

ϔⱘˈᑊ

Ϩ

ϡ䱣

↣

Ͼ䌘ѻ㗠

ব

Ǆ䖭ህ

Փᕫ

亢䰽Ё

ᗻᅮӋ݋᳝

ᕜ

໻ⱘ

Ӭ

䍞

ᗻǄᇍ

ӏ

ԩϔϾ䌘ѻˈ៥Ӏ

া

䳔䅵ㅫᅗ೼亢䰽Ёᗻ

⌟

ᑺ

ϟ

ⱘ

ᳳ

ᳯ

ؐˈ

✊

ৢ؛

㺙

䖭Ͼ䌘ѻϡ

ᏺ

亢䰽ˈ㗠

Փ

⫼

᮴ 亢䰽߽

⥛

䖯㸠

ᡬ

ᠷ

ǄҢ

ᶤ

⾡

⿟

ᑺϞ

䇈ˈ亢䰽ЁᗻᅮӋህᰃ

䫭䫭

ᕫ

ᇍˈ៥Ӏ

Փ

⫼

“

䫭䇃

ⱘ

”

⌟

ᑺˈ

✊

ৢ

ݡ

Փ

⫼

“

䫭䇃

ⱘ

”

ᡬ

ᠷ

⥛

Ǆ䖭ϸϾ

“

䫭䇃

”

ⱘৠᯊ

Փ

⫼

㒭

ߎℷ⹂ⱘ䌘ѻӋ

Ḑ

Ǆ⫼

ᴃ

䇁

ᴹ䇈ˈ᠔᳝䌘ѻⱘӋ

Ḑ

ˈབ

ᵰ

⫼

᮴ 亢䰽؎ࠌᴹ

㸵䞣

ⱘ

䆱

ˈ೼亢䰽Ёᗻ

⌟

ᑺЁህᰃϔϾ

䵙

˄

martingale

˅

䖛

⿟

Ǆ

⠽⧚

⌟

ᑺ੠亢䰽Ёᗻ

⌟

ᑺᰒ

✊

ᰃ᳝

㘨㋏

ⱘǄᅗӀⱘ

㘨㋏

ℷᰃᡩ䌘㗙ᇍ亢䰽ⱘ

ᗕ

ᑺǄ䖭ϸϾ

⌟

ᑺⱘ

Radon-Nikodym

ଚᰃ⬅ᡩ䌘㗙ⱘ

䖍

㓬

ᬜ

⫼

ߑ᭄

އᅮⱘǄབ

ᵰ

ᓎ῵㗙ϡ݇

ᖗ䖍

㓬

ᬜ

⫼

ߑ᭄

ˈ

Ҫ

ৃҹ

Ⳉ᥹ݭ

ϟ

亢䰽Ёᗻ

⌟

ᑺˈ

✊

ৢ

೼䖭Ͼ

⌟

ᑺ

ϟ

䅵ㅫ䌘ѻⱘӋ

Ḑ

Ǆ䖭⾡

ᮍ⊩㹿ᑓ

⊯

Փ

⫼ˈ

ᇸ

݊

ᰃ೼䞥㵡㸡⫳⠽ᅮӋ

ᮍ

䴶Ǆ঺໪ˈབ

ᵰⷨお

㗙᳝෎ᴀ䌘ѻҹঞᓎゟ೼ᅗ

П

Ϟⱘ㸡⫳⠽ⱘӋ

Ḑ

ˈ

ॳ

߭Ϟ

Ҫ

ৃҹ

ᡞ

ᡩ䌘㗙ⱘ

䖍

㓬

ᬜ

⫼

ߑ᭄ಲ

ㅫߎᴹǄ↨བˈ

Ҫ

ৃҹ

ⷨお

䏇䎗

ᰃϡᰃ೼ᅮӋЁ

䍋԰

⫼Ǆ

খ

㾕

Pan

˄

2002

˅Ǆ

䳔㽕

ᔎ

䇗

ⱘᰃˈ

⌟

ᑺ

ব

ᤶ˄

measure change

˅ᰃϔ⾡

ᕜ

᱂䘡

ⱘ

ᡔᎻ

Ǆḍ᥂

䯂

乬

ⱘ䳔㽕ˈ᳝ᯊ

׭

Փ

⫼亢䰽Ёᗻ

⌟

ᑺ

П

໪ⱘ

⌟

ᑺᇍ䅵ㅫӮ

᳈ࡴᮍ֓

Ǆ

՟

བ೼

㗗

㰥

䱣ᴎ

߽

⥛㒧

ᵘ

῵ൟᯊˈ᠔䇧ⱘ

䖰

ᳳ

⌟

ᑺ˄

forward measure

˅㒣ᐌӮ↨䕗

ᮍ֓

Ǆৃҹ䇈᠔

᳝ⱘ

⌟

ᑺ

ব

ᤶ෎ᴀϞ

䛑

ᰃҢ

ᶤ

⾡䅵Ӌऩ

ԡব

ᤶ˄

change of numeraire

˅㗠ᴹǄབ

ᵰ