financial economicshomepage.fudan.edu.cn/yaojing/files/2015/02/fe1.pdf · asset pricing and...

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Asset Pricing and Portfolio Choice

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Bodie and Merton ()Finance is the study of how people allocate scarce resources over time.

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�Æ�m�µHelp humans to be humans

�¬�Æµ�o��¬XÚ�±��¬Jø�SÚ½º

²L�Æµto create economically efficient and balanced societies

consisting of ordinary people (Not merely for “Government” or

“Corporate”)

A basic tenet of finance�e ultimate function of the financial system is to satisfy people’s

consumption preferences, including all the basic necessities of life, such as

food, clothing, an shelter (Bodie and Merton, )

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“at the earliest opportunity, the mind slips back into the old grooves of thought

since analysis is utterly impossible without a frame of reference, a way of

thinking about things, or, in short, a theory.” by Paul A. Samuelson, “Lord

Keynes and the General�eory,” Economica (), pp. õ

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In my humble opinions

Market fluctuations create many “economists” as any weird views can

find their supports in a random world. Most of them just take what they

see (know) recently for granted and behave as “idea speculators”, far

away from scientific terms. ...

What I wish is that you are able to analyze the real markets as people

with formal science education ...

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Arrow, K., and Debreu G. . Existence of an equilibrium for a

competitive economy, Econometrica, : –.

Arrow, cì��²LÆø; Debreu, cì��²LÆø

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cì��²LÆøµHarry M. Markowitz, William F.

Sharpe, and Merton H. Miller

cì��²LÆøµMyron S. Scholes, Robert C. Merton

cì��²LÆøµEugene Fama, Lars Peter Hansen, and

Robert Shiller�® (E��Æ) 7K²LÆ c � /

cì��²LÆø I

ê��] (Harry M. Markowitz)§gÊ (William F. Sharpe), �

V (Merton H. Miller)

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Markowitz, H. . Portfolio selection. Journal of Finance, :–.

1�g“u��·”, “�e very beginning of modern finance”...

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cì��²LÆø II

MarkowitzÄgïáý�¿Âþ�'u�EÝ]|Ü�n

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Sharpe, W. F. . Capital asset prices: A theory of market

equilibrium under conditions of risk. Journal of Finance, :–.

Modigliani, F. ( cì��²LÆø) and Miller M. . �e

cost of capital, corporation finance, and the theory of investment.

American Economic Review, : –.

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d��d (Myron S. Scholes) Ú%î (Robert C. Merton)

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Black, F. and Scholes, M. . �e pricing of options and corporate

liabilities. Journal of Political Economy, ():–. 1�g“u�

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Merton, R. . �e theory of rational option pricing. Bell Journal

of Economics and Management Science, : –.

Black-Scholes nØ��z

Merton, R. . Continuous Time Finance. Cambridge: Blackwell.

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Eugene Fama, Lars Peter Hansen, and Robert Shiller

Fama JÑ� Efficient Market Hypothesis (EMH)´y�7Kï

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Fama and French ()�e Cross-Section of Expected Stock

Returns. Journal of Finance .: -.

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cì��²LÆø II

Fama and French () Common Risk Factors in the Returns on

Stocks and Bonds

Fama and French () Multifactor Explanations of Asset Pricing

Anomalies

íÄ Empirical Asset Pricing �uÐ

David Booth ^ factor model �ngmMÄ7 DFA

Shillerµ1�7KÆ Behavioral Finance M©<��§#p�

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cì��²LÆø III

“�e first was the neoclassical revolution in finance that began with

the capital asset pricing model and efficient markets theory around

the s, and with the intertemporal capital asset pricing model and

arbitrage-based option-pricing theory in the s.

�e second was the behavioral revolution in finance which began in

the s with questions about the sources of volatility in financial

markets, with the discovery of numerous anomalies, and with

attempts to incorporate into financial theory Kahneman and

Tversky’s () prospect theory, and other theories from

psychologists.” (Shiller, )

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cì��²LÆø IV

Finance is widely viewed as amoral field. It has substantially

neglected the protection of our ordinary riches, our careers, our

home, and our very abilities to be creative as professionals (Shiller,

�e New Financial Order: Risk in the st Century).

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Peeling back the Onion: more realistic assumptions are made

concerning investors’ situations and behavior.

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[] William F. Sharpe () Investors and Markets: Portfolio Choices,

Asset Prices, and Investment Advice, Princeton University Press

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[] Bodie, Zvi and Merton, Robert C. Finance. N.J.: Prentice

Hall§.

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[] Luenberger, David G. Investment Science. Oxford University Press,

New York, .

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xÈ§.

[] Boyle, P. P. and Panjer, H. H. et al. Financial Economics-with

Applications in Investments, Insurance and Pensions, Actuarial

Foundation, .

[] Hull, J. , Option, Futures, and Other Derivatives, Prentice Hall.

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[] Huang, C. and Litzenberger, R. H. Foundation for Financial

Economics. North Holland, .

[] Ingersoll, Jonathan E.�eory of Financial Decision Making.

Rowman & Littlef ield, .

[] LeRoy, Stephen F. and Werner, Jan. Principles of Financial

Economics. Cambridge University Press, .

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Zingales, Luigi, Does Finance Benefit Society? (January ).

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