金融经济学讲义

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1、中华证券学习网www.1000zq.comFinancialEconomics
 84817008spirits77@263.netwww.redrival.com/sinavc/teachTextbook:LeroyStephrenF.,JanWerner.2001.PrinciplesofFinancialEconomics.CambridgeUniversityPress.("!$#)References

2、:HuangChi-fu,RobertH.Litzenberger.1988.Foun-dationsforFinancialEconomics.North-Holland,Newwww.1000zq.comYork.(('*))%&+,)465678:9$:?%.-2004-0/213-;6<=">ProcessPlanned:1-2chaptersperweek.中华证券学习网中华证券学习网www.1000zq.com中华证券学习网www.1000zq.com

3、PartIEquilibriumwww.1000zq.com中华证券学习网1中华证券学习网www.1000zq.com中华证券学习网www.1000zq.comChapter1EquilibriuminSecurityMarket1.1NotationsandrepresentationTimeisdividedintodate0,whichrepresentsthecer-tainty,anddate1,whichrepresentsuncertainty.Atdate1,thereareSp

4、ossiblestates.Securityjisidentiedbyitspayovector(rowvector)x=(xwww.1000zq.com;


;x)2(Rs)T,jj1jswherexjsdenotespayoofunitsofconsumptioninstatesatdate1.Itspriceatdate0isp2R+.TherejareniteJnumbersofsecurities.Thepayomatrixis01x1X=@...A2RJS.Aportf

5、olioisidentiedbyaxJcolumnvectorh=(h;:::;h)T2RJ,wherehisthe1Jjholdingsofthesecurityj.PortfoliopayoisdenotedbyhTX.中华证券学习网Therepresentativeagent'sconsumptionisc02Rat1中华证券学习网www.1000zq.com中华证券学习网www.1000zq.comdate0andc2RS.Hispreferencesareindicatedbya1

6、continuousutilityfunctionu(c;c):RS+1!R.We01assumethattheutilityfunctionisalwaysdierentiablethroughthebook.Hisendowmentisw02Ratdate0andw2RS.ThereareIagents.1Utilityfunctionuisincreasing(orstrictlyincreasing)00atdate0ifu(c0;c1)>u(c0;c1)(oru(c0;c1)>u(c

7、0;c1))00wheneverc0>c0(orc0>c0)foreveryc1.Itisincreasing0(orstrictlyincreasing)atdate1ifu(c0;c1)>u(c0;c1)000(oru(c0;c1)>u(c0;c1))wheneverc1>c1(orc1>c1)foreveryc0.Itis(strictly)increasingifitis(strictly)increasingatbothdate0anddate1.ForaSdimensionvecto

8、re2RS,itssthelementsis1andallotherelementsare0.Forexample,e1=(1;0;:::;0).esiscalledtheArrowsecuritywww.1000zq.comorstateclaimwiththeclaimtooneunitofconsumptiononoccurrenceofstatesatdate1.Matrixcomparison,seep6inthetextbook.Equivalencyrepresentation,s