{"id":12280,"date":"2026-05-18T12:28:11","date_gmt":"2026-05-18T04:28:11","guid":{"rendered":"https:\/\/www.invbus.com\/blog\/?p=12280"},"modified":"2026-05-18T12:28:11","modified_gmt":"2026-05-18T04:28:11","slug":"%e9%87%8f%e5%8c%96%e7%ae%80%e5%8f%b2%e4%b8%80%ef%bc%9a%e9%87%8f%e5%8c%96%e6%8a%95%e8%b5%84%e7%ad%96%e7%95%a5%e7%9a%84%e5%89%8d%e4%b8%96%e4%bb%8a%e7%94%9f%ef%bc%881%ef%bc%89%e6%b5%b7%e5%a4%96%e9%87%8f","status":"publish","type":"post","link":"https:\/\/www.invbus.com\/blog\/?p=12280","title":{"rendered":"\u91cf\u5316\u7b80\u53f2\u4e00\uff1a\u91cf\u5316\u6295\u8d44\u7b56\u7565\u7684\u524d\u4e16\u4eca\u751f\uff081\uff09\u6d77\u5916\u91cf\u5316\u6280\u672f\u7684\u8d77\u6e90\u4e0e\u6f14\u53d8"},"content":{"rendered":"\n

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1\u3001\u5f15\u8a00<\/strong><\/h2>\n\n\n\n

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\u572817\u4e16\u7eaa\u672b\u523018\u4e16\u7eaa\u521d\uff0c\u6765\u81ea\u745e\u58eb\u7684\u4f2f\u52aa\u5229\u5bb6\u65cf\u5bf9\u6982\u7387\u8bba\u7684\u53d1\u5c55\u505a\u51fa\u4e86\u91cd\u8981\u8d21\u732e\u3002Jacob Bernoulli\u5728\u5176\u4e66\u4e2d\u8bc1\u660e\u4e86\u5927\u6570\u5b9a\u5f8b\u7684\u7b2c\u4e00\u4e2a\u7248\u672c\u548c\u5176\u4e66\u7c4dArs Conjectandi\uff08\u300a\u731c\u60f3\u7684\u827a\u672f\u300b\uff09\u4e2d\u5173\u4e8e\u671f\u671b\u503c\u7684\u6838\u5fc3\u7ed3\u679c\u30021738\u5e74\uff0cDaniel Bernoulli\u901a\u8fc7\u5176\u8bba\u6587\u201cSpecimen theoriae novae de mensura sortis\u201d\uff08\u300a\u98ce\u9669\u6d4b\u91cf\u65b0\u7406\u8bba\u7684\u9610\u8ff0\u300b\uff09\u8ba8\u8bba\u4e86\u5723\u5f7c\u5f97\u5821\u6096\u8bba\uff0c\u4ece\u800c\u5411\u98ce\u9669\u7406\u8bba\u8fc8\u51fa\u4e86\u91cd\u8981\u7684\u4e00\u6b65\u3002<\/p>\n\n\n\n

\u6b64\u540e\u57281900\u5e743\u670829\u65e5\uff0c\u6cd5\u56fd\u535a\u58eb\u751fLouis Bachelierton\u901a\u8fc7\u4e86\u8bba\u6587\u201cTheory of Speculation\u201d\uff08\u300a\u6295\u673a\u7406\u8bba\u300b\uff09\u7684\u7b54\u8fa9\uff0c\u8be5\u8bba\u6587\u5728\u4eca\u65e5\u5df2\u88ab\u516c\u8ba4\u4e3a\u73b0\u4ee3\u6570\u5b66\u91d1\u878d\u7684\u8bde\u751f\u8bc1\u660e\uff0cLouis Bachelier\u4e5f\u88ab\u8ba4\u4e3a\u662f\u7b2c\u4e00\u4f4d\u63a8\u5bfc\u51fa\u5e03\u6717\u8fd0\u52a8\u6570\u5b66\u539f\u7406\u5e76\u5c06\u5176\u8f68\u8ff9\u5e94\u7528\u4e8e\u6a21\u62df\u80a1\u7968\u52a8\u6001\u4ef7\u683c\u548c\u8ba1\u7b97\u671f\u6743\u4ef7\u683c\u7684\u5b66\u8005\u3002<\/p>\n\n\n\n

\u5386\u53f2\u7684\u8f66\u8f6e\u6eda\u6eda\u5411\u524d\uff0c\u8f6c\u773c\u6765\u52301951\u5e74\uff0c\u65e5\u672c\u6570\u5b66\u5bb6Kiyoshi Ito\u5728\u65b0\u53d1\u8868\u7684\u8bba\u6587\u201cOn stochastic differential equations\u201d\u4e2d\u8bc1\u660e\u4e86\u4f0a\u85e4\u5f15\u7406\u3002\u4f0a\u85e4\u5f15\u7406\u63d0\u4f9b\u4e86\u5bf9\u968f\u673a\u8fc7\u7a0b\u51fd\u6570\u505a\u5fae\u5206\u7684\u6846\u67b6\uff0c\u5bf9\u4e8e\u884d\u751f\u54c1\u5b9a\u4ef7\u7406\u8bba\u7684\u53d1\u5c55\u610f\u4e49\u91cd\u5927\u3002\u5927\u7ea6\u5728Kiyoshi Ito\u6784\u5efa\u968f\u673a\u5fae\u79ef\u5206\u57fa\u7840\u7684\u540c\u65f6\uff0cHarry Markowitz\u5206\u522b\u57281952\u5e74\u548c1959\u5e74\u53d1\u8868\u4e86\u91cd\u78c5\u8bba\u6587\u201cPortfolio Selection\u201d\u4ee5\u53ca\u201cPortfolio Selection: Efficient Diversification of Investments\u201d\u3002\u4e0a\u8ff0\u8bba\u6587\u4e3a\u73b0\u4ee3\u6295\u8d44\u7ec4\u5408\u7406\u8bba<\/a>\uff08MPT\uff09\u5960\u5b9a\u4e86\u57fa\u7840\uff0c\u4e5f\u4e3aWilliam Sharpe\u7684\u8d44\u672c\u8d44\u4ea7\u5b9a\u4ef7\u6a21\u578b<\/a>(CAPM)\u7684\u5f62\u5f0f\u5316\u6253\u5f00\u4e86\u5927\u95e8\u3002<\/p>\n\n\n\n

\u57fa\u4e8e\u6295\u8d44\u7ec4\u5408\u7406\u8bba\uff0c1964\u5e74\uff0cWilliam Sharpe\u56e2\u961f\u5f00\u53d1\u4e86\u73b0\u4ee3\u91d1\u878d\u5b66\u7684\u57fa\u77f3–\u8d44\u672c\u8d44\u4ea7\u5b9a\u4ef7\u6a21\u578b(CAPM)\u3002\u8d44\u672c\u8d44\u4ea7\u5b9a\u4ef7\u6a21\u578b\u5bf9\u8bc1\u5238\u8d44\u4ea7\u98ce\u9669\u53ca\u5176\u9884\u671f\u6536\u76ca\u7387\u4e4b\u95f4\u7684\u5173\u7cfb\u7ed9\u51fa\u4e86\u7b80\u6d01\u7cbe\u786e\u7684\u523b\u753b\uff0c\u662f\u73b0\u4ee3\u91d1\u878d\u5e02\u573a\u4ef7\u683c\u7406\u8bba\u7684\u652f\u67f1\uff0c\u76ee\u524d\u5df2\u88ab\u5e7f\u6cdb\u5e94\u7528\u4e8e\u6295\u8d44\u51b3\u7b56\u548c\u516c\u53f8\u7406\u8d22\u9886\u57df\u3002<\/p>\n\n\n\n

CAPM\u6a21\u578b\u63d0\u51fa\u540e\u4e0d\u4e45\uff0c\u5e02\u573a\u6709\u6548\u6027\u7406\u8bba\u767b\u4e0a\u5386\u53f2\u821e\u53f0\u30021970\u5e74\uff0cEugene Fama\u63d0\u51fa\u4e86\u6709\u6548\u5e02\u573a\u5047\u8bf4\u3002\u5e02\u573a\u6709\u6548\u6027\u7406\u8bba\u6df1\u5316\u4e86\u6295\u8d44\u8005\u5bf9\u4ef7\u683c\u4e0e\u4fe1\u606f\u5173\u7cfb\u7684\u7406\u89e3\uff0cFama\u4e5f\u56e0\u4e4b\u83b7\u5f97\u8bfa\u8d1d\u5c14\u7ecf\u6d4e\u5b66\u5956\u3002<\/p>\n\n\n\n

\u5e02\u573a\u6709\u6548\u6027\u7406\u8bba\u6b63\u5f0f\u95ee\u4e16\u4e09\u5e74\u540e\uff0c\u4e24\u7bc7\u8bba\u6587\u7684\u8bde\u751f\u7ed9\u91cf\u5316\u91d1\u878d\u9886\u57df\u5e26\u6765\u4e86\u65b0\u7a81\u7834\u30021973\u5e74\uff0cFischer Black\u548c Myron Scholes\u53d1\u8868\u8bba\u6587\u201cThe Pricing of Options and Corporate Liabilities\u201d\uff1b\u540c\u5e74\uff0cRobert Merton\u53d1\u8868\u8bba\u6587\u201cOn the pricing of corporate debt: the risk structure of interest rates\u201d\u3002\u4e0a\u8ff0\u8bba\u6587\u5f15\u5165\u4e86\u4e00\u79cd\u65b0\u7684\u91d1\u878d\u5de5\u5177\u4f30\u503c\u65b9\u6cd5\uff0c\u5bf9\u671f\u6743\u5b9a\u4ef7\u7684Black-Scholes\u6a21\u578b\u60ca\u8273\u4f17\u4eba\u3002\u5728\u5b66\u672f\u5708\u8fce\u6765\u7a81\u7834\u7684\u540c\u65f6\uff0c\u884c\u4e1a\u754c\u540c\u6837\u7855\u679c\u7d2f\u7d2f\uff1a\u829d\u52a0\u54e5\u671f\u6743\u4ea4\u6613\u6240\u6210\u4e3a\u7b2c\u4e00\u4e2a\u4e0a\u5e02\u671f\u6743\u7684\u4ea4\u6613\u5e02\u573a\uff0c\u5e02\u573a\u5bf9Black-Scholes\u6a21\u578b\u7684\u9002\u5e94\u901f\u5ea6\u4e5f\u8d85\u51fa\u4f17\u4eba\u60f3\u8c61\u3002\u52301975\u5e74\uff0c\u51e0\u4e4e\u6240\u6709\u4ea4\u6613\u8005\u90fd\u5728\u4f7f\u7528\u4ed6\u4eec\u8ba1\u7b97\u5668\u4e2d\u5185\u7f6e\u7684Black-Scholes\u6a21\u578b\u5bf9\u671f\u6743\u6295\u8d44\u7ec4\u5408\u8fdb\u884c\u4f30\u503c\u548c\u5bf9\u51b2\uff0c\u884d\u751f\u54c1\u5e02\u573a\u7684\u89c4\u6a21\u4e5f\u4e0d\u65ad\u58ee\u5927\u3002<\/p>\n\n\n\n

\u5728Black-Scholes\u6a21\u578b\u53d1\u5c55\u5982\u706b\u5982\u837c\u4e4b\u9645\uff0c\u4e0d\u5c11\u65b0\u7406\u5ff5\u4e5f\u6697\u6d41\u6d8c\u52a8\u5e76\u84c4\u52bf\u5f85\u53d1\u30021976\u5e74\uff0c\u7f8e\u56fd\u5b66\u8005Stephen Ross\u53d1\u8868\u4e86\u7ecf\u5178\u8bba\u6587\u201cThe Arbitrage Theory of Capital Asset Pricing\u201d\uff0c\u63d0\u51fa\u4e86\u4e00\u79cd\u65b0\u7684\u8d44\u4ea7\u5b9a\u4ef7\u6a21\u578b–\u5957\u5229\u5b9a\u4ef7\u7406\u8bba(APT\u7406\u8bba)\u3002\u73b0\u5982\u4eca\uff0c\u4eba\u4eec\u5c06APT\u4e0eMPT\u3001CAPM\u3001Black-Scholes\u6a21\u578b\u7b49\u4e00\u540c\u89c6\u4f5c\u73b0\u4ee3\u91d1\u878d\u5b66\u7684\u7406\u8bba\u57fa\u7840\u3002\u5728APT\u7406\u8bba\u63d0\u51fa\u4e03\u5e74\u540e\uff0c\u5728Morgan Stanley\u4efb\u804c\u7684\u7a0b\u5e8f\u5458Gerry Bamberger\u53d1\u73b0\u4e86\u7edf\u8ba1\u5957\u5229\u7b56\u7565\uff0c\u7531\u4e8e\u4e0d\u7ba1\u5e02\u573a\u8fd0\u52a8\u65b9\u5411\u5982\u4f55\u90fd\u80fd\u591f\u76c8\u5229\uff0c\u8be5\u7b56\u7565\u5df2\u6210\u4e3a\u6709\u53f2\u4ee5\u6765\u6700\u5f3a\u5927\u7684\u4ea4\u6613\u7b56\u7565\u4e4b\u4e00\u3002<\/p>\n\n\n\n

\u603b\u7684\u6765\u770b\uff0c20\u4e16\u7eaa\u662f\u91cf\u5316\u91d1\u878d\u7406\u8bba\u84ec\u52c3\u53d1\u5c55\u7684\u9ec4\u91d1\u65f6\u4ee3\uff0c\u4e00\u5957\u5957\u91cd\u78c5\u91d1\u878d\u7406\u8bba\u76f8\u7ee7\u8bde\u751f\uff0c\u4e3a\u5982\u4eca\u91cf\u5316\u7b56\u7565\u767e\u82b1\u9f50\u653e\u6253\u4e0b\u4e86\u575a\u5b9e\u7684\u57fa\u7840\u3002<\/p>\n\n\n\n

\u91cf\u5316\u6280\u672f\u767e\u82b1\u9f50\u653e<\/em><\/strong><\/p>\n\n\n\n

\u8fdb\u516521\u4e16\u7eaa\uff0c\u968f\u7740\u8ba1\u7b97\u673a\u6280\u672f\uff08\u5c24\u5176\u662f\u4e91\u8ba1\u7b97\u3001\u5927\u6570\u636e\u3001\u673a\u5668\u5b66\u4e60\u6280\u672f\uff09\u7684\u53d1\u5c55\uff0c\u4e3a\u4eba\u5de5\u667a\u80fd\uff08Artificial Intelligence\uff09\u6df1\u5165\u91cf\u5316\u9886\u57df\u5960\u5b9a\u4e86\u826f\u597d\u7684\u57fa\u77f3\u3002\u5728\u5b9e\u9645\u6295\u7814\u4e2d\uff0c\u6211\u4eec\u53ef\u4ee5\u5bf9\u8d22\u52a1\u3001\u4ea4\u6613\u6570\u636e\u8fdb\u884c\u5efa\u6a21\uff0c\u4ece\u800c\u5206\u6790\u6570\u636e\u7684\u7279\u5f81\uff0c\u4e5f\u53ef\u4ee5\u5229\u7528\u673a\u5668\u5b66\u4e60\u9886\u57df\u7684\u5404\u7c7b\u5206\u7c7b\u4e0e\u56de\u5f52\u9884\u6d4b\u7b97\u6cd5\u6784\u5efa\u4ea4\u6613\u7b56\u7565\u3002\u9664\u4e86\u5c06\u6570\u503c\u6570\u636e\u4f5c\u4e3a\u6a21\u578b\u7684\u4fe1\u606f\u8f93\u5165\uff0c\u65b0\u95fb\u3001\u793e\u4ea4\u7f51\u7edc\u4e2d\u4e30\u5bcc\u7684\u6587\u672c\u6570\u636e\uff0c\u4e5f\u662f\u6211\u4eec\u5206\u6790\u5e02\u573a\u53d8\u52a8\u7ebf\u7d22\u7684\u4e00\u5927\u5229\u5668\u3002\u6b64\u5916\uff0c\u8fd0\u7528\u81ea\u7136\u8bed\u8a00\u5904\u7406\u6280\u672f\uff0c\u6211\u4eec\u53ef\u4ee5\u5b66\u4e60\u975e\u7ed3\u6784\u5316\u6587\u672c\u6570\u636e\u7684\u6570\u503c\u8868\u793a\uff1b\u8fd0\u7528\u77e5\u8bc6\u56fe\u8c31\u7684\u76f8\u5173\u6280\u672f\uff0c\u6211\u4eec\u53ef\u4ee5\u6784\u5efa\u4e0d\u540c\u79cd\u7c7b\u7684\u5b9e\u4f53\u8fde\u63a5\u6240\u7ec4\u6210\u7684\u5173\u7cfb\u7f51\u7edc\uff0c\u5e76\u6839\u636e\u5173\u7cfb\u7f51\u7edc\u8f85\u52a9\u6295\u8d44\u51b3\u7b56\u30022018\u5e745\u6708\uff0c\u5df4\u514b\u83b1\u5bf9\u51b2\u57fa\u91d1\uff08BarclayHedge\uff09\u5bf9\u5bf9\u51b2\u57fa\u91d1\u4e13\u4e1a\u4eba\u58eb\u8fdb\u884c\u4e86AI\u4f7f\u7528\u60c5\u51b5\u7684\u8c03\u67e5\uff0c\u7ed3\u679c\u8868\u660e56%\u7684\u5bf9\u51b2\u57fa\u91d1\u53d7\u8bbf\u8005\u4f7f\u7528\u8fc7AI\u6280\u672f\u8fdb\u884c\u6295\u8d44\u51b3\u7b56\uff0c\u76f8\u6bd4\u4e8e2017\u5e74\u8c03\u67e5\u768420%\u7684\u6570\u636e\uff0c\u53ef\u4ee5\u660e\u663e\u770b\u51faAI\u5728\u6295\u8d44\u9886\u57df\u8f83\u5feb\u7684\u6269\u5f20\u901f\u5ea6\u548c\u8f83\u5927\u7684\u5e94\u7528\u6f5c\u529b\u3002<\/p>\n\n\n\n

\u7efc\u4e0a\uff0c\u6211\u4eec\u5bf9\u6d77\u5916\u91cf\u5316\u6280\u672f\u7684\u53d1\u5c55\u53f2\u8fdb\u884c\u4e86\u7ec6\u81f4\u68b3\u7406\uff0c\u5e76\u5c06\u91cf\u5316\u6280\u672f\u53d1\u5c55\u53f2\u4e0a\u7684\u91cd\u8981\u6807\u5fd7\u6027\u4e8b\u4ef6\u9648\u5217\u5728\u4e0b\u8868\u4e2d\u4ee5\u65b9\u4fbf\u8bfb\u8005\u9605\u89c8\uff0c\u5728\u540e\u6587\u4e2d\u6211\u4eec\u5c06\u5bf9\u524d\u6587\u63d0\u53ca\u7684\u91cd\u8981\u91cf\u5316\u6a21\u578b\u53ca\u5176\u601d\u60f3\u8fdb\u884c\u66f4\u8be6\u7ec6\u7684\u4ecb\u7ecd\u3002<\/p>\n\n\n\n

\"\"\/<\/div><\/figure>\n\n\n\n
\"\"\/<\/div><\/figure>\n\n\n\n

2.2 \u73b0\u4ee3\u8d44\u4ea7\u7ec4\u5408\u7406\u8bba<\/strong><\/p>\n\n\n\n

\u73b0\u4ee3\u6295\u8d44\u7ec4\u5408\u7406\u8bba\uff08Modern Portfolio Theory\uff0cMPT\uff09\u7531\u7f8e\u56fd\u7ecf\u6d4e\u5b66\u5bb6Harry Markowitz\u6700\u65e9\u63d0\u51fa\u3002MPT\u8ba4\u4e3a\u4e0d\u5e94\u5355\u72ec\u770b\u5f85\u4efb\u4f55\u7ed9\u5b9a\u6295\u8d44\u7684\u98ce\u9669\u548c\u56de\u62a5\u7279\u5f81\uff0c\u800c\u5e94\u6839\u636e\u5b83\u5982\u4f55\u5f71\u54cd\u6574\u4e2a\u6295\u8d44\u7ec4\u5408\u7684\u98ce\u9669\u548c\u56de\u62a5\u6765\u5bf9\u5176\u8fdb\u884c\u8bc4\u4f30\uff1b\u4e5f\u5c31\u662f\u8bf4\u6295\u8d44\u8005\u53ef\u4ee5\u6784\u5efa\u591a\u79cd\u8d44\u4ea7\u7684\u6295\u8d44\u7ec4\u5408\uff0c\u4ece\u800c\u5728\u4e0d\u627f\u62c5\u66f4\u9ad8\u98ce\u9669\u7684\u60c5\u51b5\u4e0b\u83b7\u5f97\u66f4\u9ad8\u7684\u56de\u62a5\u3002MPT\u7684\u53e6\u4e00\u4e2a\u597d\u5904\u662f\u5b83\u53ef\u4ee5\u964d\u4f4e\u6ce2\u52a8\u6027\uff0c\u505a\u5230\u8fd9\u4e00\u70b9\u7684\u6700\u4f73\u65b9\u6cd5\u662f\u9009\u62e9\u5177\u6709\u8d1f\u76f8\u5173\u6027\u7684\u8d44\u4ea7\uff0c\u6bd4\u5982\u6295\u8d44\u7f8e\u56fd\u56fd\u503a\u548c\u5c0f\u76d8\u80a1\u5c31\u662f\u4e00\u4e2a\u5f88\u597d\u7684\u4f8b\u5b50\u3002<\/p>\n\n\n\n

\u5c3d\u7ba1MPT\u5728\u7406\u8bba\u4e0a\u5341\u5206\u91cd\u8981\uff0c\u4f46\u6279\u8bc4\u8005\u8d28\u7591MPT\u662f\u5426\u662f\u4e00\u79cd\u7406\u60f3\u7684\u6295\u8d44\u5de5\u5177\uff0c\u56e0\u4e3a\u6a21\u578b\u5728\u8bb8\u591a\u65b9\u9762\u4e0e\u73b0\u5b9e\u4e16\u754c\u4e0d\u5339\u914d\u3002\u6bd4\u5982MPT\u4f7f\u7528\u7684\u98ce\u9669\u3001\u6536\u76ca\u548c\u76f8\u5173\u6027\u5ea6\u91cf\u76f4\u63a5\u6216\u95f4\u63a5\u57fa\u4e8e\u671f\u671b\u503c\uff0c\u8fd9\u610f\u5473\u7740\u8fd9\u4e9b\u5ea6\u91cf\u662f\u5173\u4e8e\u672a\u6765\u7684\u7edf\u8ba1\u63cf\u8ff0\uff0c\u800c\u8fd9\u79cd\u65b9\u5f0f\u901a\u5e38\u65e0\u6cd5\u6355\u6349\u98ce\u9669\u548c\u56de\u62a5\u7684\u771f\u5b9e\u7edf\u8ba1\u7279\u5f81\uff08\u771f\u5b9e\u7684\u7edf\u8ba1\u7279\u5f81\u901a\u5e38\u9075\u5faa\u9ad8\u5ea6\u504f\u6001\u5206\u5e03\uff0c\u4f8b\u5982\u5bf9\u6570\u6b63\u6001\u5206\u5e03\uff09\u3002<\/p>\n\n\n\n

\u9488\u5bf9\u4e0a\u8ff0\u8d28\u7591\uff0c\u6709\u8bb8\u591a\u7814\u7a76\u5728\u6539\u8fdbMPT\u4e0a\u8fdb\u884c\u4e86\u8bb8\u591a\u5c1d\u8bd5\uff0c\u4e5f\u6709\u90e8\u5206\u7814\u7a76\u8005\u8bd5\u56fe\u4ece\u5176\u4ed6\u89d2\u5ea6\u6269\u5c55MPT\u7684\u9002\u7528\u6027\u3002\u4f8b\u5982\uff0c\u540e\u73b0\u4ee3\u6295\u8d44\u7ec4\u5408\u7406\u8bba\u901a\u8fc7\u91c7\u7528\u975e\u6b63\u6001\u5206\u5e03\u3001\u4e0d\u5bf9\u79f0\u548c\u80a5\u5c3e\u98ce\u9669\u5ea6\u91cf\u6765\u6269\u5c55MPT\uff1bBlack-Litterman\u6a21\u578b\u4f18\u5316\u901a\u8fc7\u7ed3\u5408\u5bf9\u98ce\u9669\u548c\u56de\u62a5\u8f93\u5165\u7684\u76f8\u5bf9\u548c\u7edd\u5bf9\u201c\u89c2\u70b9\u201d\uff0c\u5bf9\u65e0\u7ea6\u675fMarkowitz\u4f18\u5316\u8fdb\u884c\u6269\u5c55\u3002<\/p>\n\n\n\n

2.3 \u8d44\u672c\u8d44\u4ea7\u5b9a\u4ef7\u6a21\u578b<\/strong><\/p>\n\n\n\n

\u8d44\u672c\u8d44\u4ea7\u5b9a\u4ef7\u6a21\u578b\uff08Capital Asset Pricing Model\uff0c\u7b80\u79f0CAPM\uff09\u662f\u7531\u7f8e\u56fd\u5b66\u8005William Sharpe\u3001John Lintner\u3001Jack Treynor\u548cJan Mossin\u7b49\u4eba\u4e8e1964\u5e74\u5728\u8d44\u4ea7\u7ec4\u5408\u7406\u8bba\u548c\u8d44\u672c\u5e02\u573a\u7406\u8bba\u7684\u57fa\u7840\u4e0a\u53d1\u5c55\u8d77\u6765\u7684\uff0c\u4e3b\u8981\u7814\u7a76\u8bc1\u5238\u5e02\u573a\u4e2d\u8d44\u4ea7\u7684\u9884\u671f\u6536\u76ca\u7387\u4e0e\u98ce\u9669\u8d44\u4ea7\u4e4b\u95f4\u7684\u5173\u7cfb\uff0c\u4ee5\u53ca\u5747\u8861\u4ef7\u683c\u662f\u5982\u4f55\u5f62\u6210\u7684\uff0c\u662f\u73b0\u4ee3\u91d1\u878d\u5e02\u573a\u4ef7\u683c\u7406\u8bba\u7684\u652f\u67f1\uff0c\u5e7f\u6cdb\u5e94\u7528\u4e8e\u6295\u8d44\u51b3\u7b56\u548c\u516c\u53f8\u7406\u8d22\u9886\u57df\u3002<\/p>\n\n\n\n

\u4f20\u7edf\u7684CAPM\u6a21\u578b\u5047\u8bbe\u6240\u6709\u6295\u8d44\u8005\uff1a<\/p>\n\n\n\n

\uff081\uff09\u65e8\u5728\u6700\u5927\u5316\u7ed9\u5b9a\u8d44\u4ea7\u6570\u91cf\u65f6\u7684\u7ecf\u6d4e\u6548\u7528\uff1b<\/p>\n\n\n\n

\uff082\uff09\u7406\u6027\u4e14\u538c\u6076\u98ce\u9669\u7684\uff1b<\/p>\n\n\n\n

\uff083\uff09\u8ffd\u6c42\u6295\u8d44\u7684\u591a\u6837\u5316\uff1b<\/p>\n\n\n\n

\uff084\uff09\u662f\u4ef7\u683c\u63a5\u53d7\u8005\uff0c\u5373\u4e0d\u80fd\u5f71\u54cd\u4ef7\u683c\uff1b<\/p>\n\n\n\n

\uff085\uff09\u53ef\u4ee5\u5728\u65e0\u98ce\u9669\u5229\u7387\u4e0b\u65e0\u9650\u5236\u5730\u501f\u8d37\uff1b<\/p>\n\n\n\n

\uff086\uff09\u6ca1\u6709\u4ea4\u6613\u6216\u7a0e\u6536\u6210\u672c\u7684\u4ea4\u6613\uff1b<\/p>\n\n\n\n

\uff087\uff09\u53ef\u4ee5\u5904\u7406\u9ad8\u5ea6\u53ef\u5206\u5272\u6210\u5c0f\u5757\u7684\u8bc1\u5238\uff08\u6240\u6709\u8d44\u4ea7\u90fd\u662f\u5b8c\u5168\u53ef\u5206\u5272\u548c\u6d41\u52a8\u7684\uff09\uff1b<\/p>\n\n\n\n

\uff088\uff09\u6709\u540c\u8d28\u5316\u7684\u671f\u671b\uff1b<\/p>\n\n\n\n

\uff089\uff09\u6240\u6709\u6295\u8d44\u8005\u90fd\u53ef\u4ee5\u540c\u65f6\u83b7\u5f97\u6240\u6709\u4fe1\u606f\u3002<\/p>\n\n\n\n

\u5728\u4e0a\u8ff0\u5047\u8bbe\u6846\u67b6\u4e0b\uff0c\u5bf9\u4e8e\u5355\u4e2a\u8bc1\u5238\uff0c\u4f20\u7edf\u7684CAPM\u5229\u7528\u8bc1\u5238\u5e02\u573a\u7ebf(SML)\u53ca\u5176\u4e0e\u9884\u671f\u56de\u62a5\u548c\u7cfb\u7edf\u98ce\u9669(Beta)\u7684\u5173\u7cfb\u6765\u5c55\u793a\u5e02\u573a\u5982\u4f55\u6839\u636e\u8bc1\u5238\u7684\u98ce\u9669\u7c7b\u522b\u5bf9\u5355\u4e2a\u8bc1\u5238\u8fdb\u884c\u5b9a\u4ef7\uff0c\u5728\u7406\u8bba\u754c\u5df2\u7ecf\u5f97\u5230\u8f83\u4e3a\u666e\u904d\u7684\u8ba4\u53ef\u3002\u6295\u8d44\u4e13\u5bb6\u7528\u5b83\u6765\u5236\u5b9a\u8d44\u672c\u9884\u7b97\u6216\u5176\u4ed6\u51b3\u7b56\uff0c\u7acb\u6cd5\u673a\u6784\u7528\u5b83\u6765\u89c4\u8303\u57fa\u91d1\u754c\u4eba\u58eb\u7684\u8d39\u7528\u7387\u3002\u7136\u800c\u5bf9\u4e8e\u4f20\u7edfCAPM\u6279\u8bc4\u7684\u58f0\u97f3\u4e5f\u540c\u65f6\u5b58\u5728\uff0c\u6bd4\u5982\u4f20\u7edf\u7684 CAPM \u4f7f\u7528\u5386\u53f2\u6570\u636e\u4f5c\u4e3a\u8f93\u5165\u6765\u8fd1\u4f3c\u4ee3\u66ff\u8d44\u4ea7\u7684\u672a\u6765\u56de\u62a5\uff0c\u7136\u800c\u5386\u53f2\u53ef\u80fd\u4e0d\u8db3\u4ee5\u7528\u4e8e\u9884\u6d4b\u672a\u6765\uff0c\u56e0\u6b64\u73b0\u4ee3\u7684 CAPM \u65b9\u6cd5\u4f7f\u7528\u4f9d\u8d56\u4e8e\u672a\u6765\u98ce\u9669\u4f30\u8ba1\u7684 Beta\u3002<\/p>\n\n\n\n

2.4 Black-Scholes\u6a21\u578b<\/strong><\/p>\n\n\n\n

Black-Scholes\u6a21\u578b\u662f\u4e00\u79cd\u4e3a\u671f\u6743\u5b9a\u4ef7\u7684\u6570\u5b66\u6a21\u578b\uff0c\u7531\u7f8e\u56fd\u7ecf\u6d4e\u5b66\u5bb6Fischer Black\u548cMyron Scholes\u9996\u5148\u63d0\u51fa\u3002Black-Scholes\u6a21\u578b\u5047\u8bbe\u91d1\u878d\u5e02\u573a\u5b58\u5728\u6700\u5c11\u4e00\u79cd\u98ce\u9669\u8d44\u4ea7\uff08\u5982\u80a1\u7968\uff09\u53ca\u4e00\u79cd\u65e0\u98ce\u9669\u8d44\u4ea7\uff08\u73b0\u91d1\u6216\u503a\u5238\uff09\u3002\u540c\u65f6\u6a21\u578b\u5047\u8bbe\uff1a<\/p>\n\n\n\n

\uff081\uff09\u65e0\u98ce\u9669\u8d44\u4ea7\u7684\u6295\u8d44\u56de\u62a5\u662f\u4e0d\u53d8\u7684\uff08\u6b64\u56de\u62a5\u7387\u79f0\u4f5c\u65e0\u98ce\u9669\u5229\u7387\uff09\uff1b<\/p>\n\n\n\n

\uff082\uff09\u80a1\u7968\u4ef7\u683c\u9075\u4ece\u51e0\u4f55\u5e03\u6717\u8fd0\u52a8\uff08\u968f\u673a\u6e38\u8d70\uff09\uff1b<\/p>\n\n\n\n

\uff083\uff09\u80a1\u7968\u5728\u9009\u62e9\u6743\u6709\u6548\u671f\u5185\u4e0d\u5206\u6d3e\u7ea2\u5229\uff1b<\/p>\n\n\n\n

\uff084\uff09\u80a1\u7968\u4ef7\u683c\u670d\u4ece\u5bf9\u6570\u6b63\u6001\u5206\u5e03\uff0c\u5373\u91d1\u878d\u8d44\u4ea7\u7684\u5bf9\u6570\u6536\u76ca\u7387\u670d\u4ece\u6b63\u6001\u5206\u5e03\uff1b<\/p>\n\n\n\n

\uff085\uff09\u91d1\u878d\u5e02\u573a\u4e0d\u5b58\u5728\u5957\u5229\u673a\u4f1a\uff1b<\/p>\n\n\n\n

\uff086\uff09\u6295\u8d44\u8005\u80fd\u4ee5\u65e0\u98ce\u9669\u5229\u7387\u501f\u51fa\u6216\u501f\u5165\u4efb\u610f\u6570\u91cf\u7684\u91d1\u94b1\uff1b<\/p>\n\n\n\n

\uff087\uff09\u6295\u8d44\u8005\u80fd\u4e70\u5165\u53ca\u5356\u51fa\uff08\u6cbd\u7a7a\uff09\u4efb\u610f\u6570\u91cf\u7684\u80a1\u7968\uff1b<\/p>\n\n\n\n

\uff088\uff09\u5e02\u573a\u65e0\u6469\u64e6\uff0c\u5373\u4e0d\u5b58\u5728\u4ea4\u6613\u7a0e\u6536\u548c\u4ea4\u6613\u6210\u672c\u3002<\/p>\n\n\n\n

\u5728\u4e0a\u8ff0\u8bf8\u591a\u5047\u8bbe\u6846\u67b6\u4e0b\uff0c\u5bf9\u4e8e\u6709\u6548\u671f\u5185\u4e0d\u6d3e\u53d1\u7ea2\u5229\u7684\u6b27\u5f0f\u671f\u6743\uff0cBlack\u2013Scholes\u6a21\u578b\u5bfc\u51fa\u4e86\u5176\u4ef7\u683c\u9075\u4ece\u7684\u504f\u5fae\u5206\u65b9\u7a0b\u3002<\/p>\n\n\n\n

\u7531\u4e8e\u57fa\u7840\u7684Black\u2013Scholes\u6a21\u578b\u5bf9\u6d3e\u53d1\u80a1\u5229\u7684\u6b27\u5f0f\u671f\u6743\u5e76\u4e0d\u9002\u7528\uff0cRobert C. Merton\u968f\u540e\u4fee\u6539\u4e86\u8be5\u6a21\u578b\u7684\u6570\u5b66\u5f62\u5f0f\uff0c\u4f7f\u5f97\u6a21\u578b\u5728\u6d3e\u53d1\u80a1\u5229\u65f6\u540c\u6837\u9002\u7528\u3002Merton\u5f00\u53d1\u7684\u65b0\u7248\u6a21\u578b\u88ab\u79f0\u4e3aBlack\u2013Scholes\u2013Merton\u6a21\u578b\u3002Black\u2013Scholes\u2013Merton\u6a21\u578b\u80cc\u540e\u7684\u5173\u952e\u601d\u60f3\u662f\u901a\u8fc7\u4ee5\u6b63\u786e\u7684\u65b9\u5f0f\u4e70\u5356\u6807\u7684\u8d44\u4ea7\u6765\u5bf9\u51b2\u671f\u6743\uff0c\u4ece\u800c\u6d88\u9664\u98ce\u9669\u3002\u8fd9\u79cd\u7c7b\u578b\u7684\u5bf9\u51b2\u88ab\u79f0\u4e3a\u201c\u8fde\u7eed\u4fee\u6b63\u7684delta\u5bf9\u51b2\u201d\uff0c\u662f\u6295\u8d44\u94f6\u884c\u548c\u5bf9\u51b2\u57fa\u91d1\u4f7f\u7528\u7684\u590d\u6742\u5bf9\u51b2\u7b56\u7565\u7684\u57fa\u7840\u3002\u73b0\u5982\u4eca\uff0cBlack\u2013Scholes\u2013Merton\u6a21\u578b\u53ca\u5176\u53d8\u4f53\u5df2\u88ab\u671f\u6743\u4ea4\u6613\u5546\u3001\u6295\u8d44\u94f6\u884c\u3001\u91d1\u878d\u7ba1\u7406\u8005\u3001\u4fdd\u9669\u4eba\u7b49\u5e7f\u6cdb\u4f7f\u7528\u3002\u884d\u751f\u5de5\u5177\u7684\u62d3\u5c55\u4f7f\u5f97\u56fd\u9645\u91d1\u878d\u5e02\u573a\u66f4\u5bcc\u6709\u6548\u7387\uff0c\u540c\u65f6\u4e5f\u52a0\u5f3a\u4e86\u5e02\u573a\u4e0e\u5e02\u573a\u53c2\u4e0e\u8005\u7684\u76f8\u4e92\u4f9d\u8d56\u3002<\/p>\n\n\n\n

2.5 \u5957\u5229\u5b9a\u4ef7\u7406\u8bba<\/strong><\/p>\n\n\n\n

\u5957\u5229\u5b9a\u4ef7\u7406\u8bba\uff08Arbitrage Pricing Theory\uff0cAPT\uff09\u662fCAPM\u7684\u62d3\u5c55\uff0c\u5b83\u8ba4\u4e3a\u8d44\u4ea7\u4ef7\u683c\u53d7\u5230\u5305\u62ec\u5b8f\u89c2\u7ecf\u6d4e\u53d8\u91cf\u6216\u516c\u53f8\u7ecf\u8425\u76f8\u5173\u7b49\u56e0\u7d20\u5728\u5185\u7684\u591a\u79cd\u56e0\u5b50\u9a71\u52a8\uff0c\u8d44\u4ea7\u7684\u9884\u671f\u6536\u76ca\u4e0e\u591a\u56e0\u5b50\u5448\u7ebf\u6027\u76f8\u5173\u3002\u5177\u4f53\u6765\u8bf4\uff0c\u5047\u8bbe\u56e0\u5b50\u6a21\u578b\u80fd\u63cf\u8ff0\u8bc1\u5238\u6536\u76ca\u3001\u5e02\u573a\u4e0a\u6709\u8db3\u591f\u7684\u8bc1\u5238\u6765\u5206\u6563\u98ce\u9669\u3001\u5b8c\u5584\u7684\u8bc1\u5238\u5e02\u573a\u4e0d\u5141\u8bb8\u4efb\u4f55\u5957\u5229\u673a\u4f1a\u5b58\u5728\uff0c\u90a3\u4e48\u98ce\u9669\u8d44\u4ea7\u7684\u56de\u62a5\u53ef\u88ab\u8868\u8fbe\u6210\u5404\u7cfb\u7edf\u56e0\u5b50\u7684\u7ebf\u6027\u7ec4\u5408\u4e0e\u5e38\u6570\u9879\u4ee5\u53ca\u968f\u673a\u9879\u4e4b\u548c\u3002<\/p>\n\n\n\n

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APT\u3001MPT\u3001CAPM\u6a21\u578b\u4e0eBlack-Scholes\u6a21\u578b\u7b49\u4e00\u8d77\u6784\u6210\u4e86\u73b0\u4ee3\u91d1\u878d\u5b66\u7684\u7406\u8bba\u57fa\u7840\u3002<\/strong><\/p>\n\n\n\n

\u7f16\u8f91\u4e8e 2021-12-09 22:11
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