AssetPricing-ABriefReview Li,Minqiang MunichPersonalRePEcArchive

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Asset Pricing - A Brief Review

Li, Minqiang

2010

Online at https://mpra.ub.uni-muenchen.de/22379/

MPRA Paper No. 22379, posted 30 Apr 2010 17:08 UTC

Asset Pricing Models – A Brief Review

Minqiang Li

Georgia Institute of Technology

Abstract

I first introduce the early-stage and modern classical asset pricing and portfolio theories. These include: the capital asset pricing model (CAPM), the arbitrage pricing theory (APT), the consumption capital asset pricing model (CCAPM), the intertemporal capital asset pricing model (ICAPM), and some other important modern concepts and techniques. Finally, I discuss the most recent development during the last decade and the outlook in the field of asset pricing.

ˍ ˍ ˍ

ˍˊ ˊ ˊ ˊ ᇐ㿔 ᇐ㿔 ᇐ㿔 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᭛Ёᇚҟ㒡৘⾡䌘ѻᅮӋঞᡩ䌘㒘ড়ⱘ⧚䆎ˈ䞡⚍ᇚ㹿ᬒ೼䖥कᑈᴹ ⱘ⧚䆎থሩDŽ೼ℸ෎⸔Ϟˈ៥гҟ㒡᳔䖥ҹᴹ䖭Ͼ乚ඳⱘথሩᑊᦤߎ᳾ᴹⱘⷨおሩ ᳯDŽ䡈Ѣ䌘ѻᅮӋ⧚䆎ⱘᑓᑺঞ⏅ᑺˈᴀ᭛ᇚ䆩೒䕗ܼ䴶ഄᇍ䖭Ͼ乚ඳЁ᳔Ў䞡㽕 ⱘḌᖗ ݙᆍ䖯 㸠䯤䗄DŽ៥ᇚ ⬹এϔ 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ѻᅮӋЁϔϾḌᖗⱘ䇒乬ᰃ㙵ᴗ⑶ӋП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᭛Пࠡˈ៥䅸Ўҟ㒡ϔϟᏆ㒣ߎ⠜ⱘ㽓ᮍ䌘ѻᅮӋϧ㨫៪㓐ড়䆘䆎 ᰃᵕ᳝݊⫼ⱘDŽ↨䕗᳝ਃথᗻⱘ㓐ড়䆘䆎᳝ _Campbell˄₂₀₀₀˅ˈ_Mehra ੠ _Prescott

˄₂₀₀₃˅ˈҹঞ _Cochrane˄₂₀₀₅˅DŽ_Campbellᰃᇍ ₂₀₀₀ᑈҹࠡⱘ䌘ѻᅮӋ乚ඳⱘ 㓐䗄ˈЏ㽕ⴔⴐѢᅲ䆕੠⧚䆎П䯈ⱘѦࡼDŽMehra ੠ Prescott ⴔ䞡䯤䗄㙵ᴗ⑶ӋП

䇰DŽ_Cochrane ⴔⴐѢ䌘ѻᅮӋ੠ᅣ㾖㒣⌢П䯈ⱘ㘨㋏DŽ݇Ѣϧ㨫ˈᮽᳳ↨䕗᳝ৡ

ⱘ᳝ _Ingersoll˄₁₉₈₇˅ˈҹঞ _Huang੠ Litzenberger ˄₁₉₈₈˅DŽϸ㗙䛑ᰃᵕདⱘкˈ

↨䕗ⴔ䞡䌘ѻᅮӋⱘᖂ㾖⧚䆎῵ൟDŽ㔎ធᰃ⿡⿡ᰒ㗕њϔѯˈ ঺໪ϸкЁ䛑ϡ䆺 㒚㽚Ⲫ䖲㓁ᯊ䯈῵ൟDŽ↨䕗ᮄⱘк᳝ _Duffie˄₂₀₀₁˅ˈ_Cochrane˄₂₀₀₁˅ˈ_LeRoy

੠ Werner˄2001˅ˈPennacchi˄2008˅ˈҹঞ Skiadas˄2009˅DŽ݊Ё Cochrane

˄₂₀₀₁˅ˈ_LeRoy੠ _Wernerҹঞ_Skiadas䛑ϡ䆺㒚⍝ঞ䖲㓁ᯊ䯈῵ൟDŽ_Cochraneܼ к䛑ᓎゟ೼䱣ᴎᡬ⦄಴ᄤ˄stochastic discount factor˅ⱘ෎⸔Ϟˈϡৠⱘ῵ൟ⬅ϡ ৠⱘ䱣ᴎᡬ⦄಴ᄤᇐߎDŽᅗЏ㽕䆆䗄⾏ᬷᯊ䯈῵ൟDŽℸк᭄ᄺ㽕∖䕗ԢˈԚὖᗉ䆆 ᕫⳌᔧ䗣ᕏDŽ_LeRoy ੠ _Werner гϡ⍝ঞ䖲㓁ᯊ䯈῵ൟˈⴔ䞡䯤䗄䌘ѻᅮӋⱘᖂ㾖

⧚䆎෎⸔DŽᅗᇍ᭄ᄺ㽕∖⿟ᑺ੠ Cochrane Ⳍᔧˈ Џ㽕⡍㡆ᰃ䌘ѻⱘ᳾ᴹᬊⲞ⥛㹿 ᅮН೼ϔϾ᳝䰤㓈ⱘᏠᇨԃ⡍ぎ䯈˄Hilbert space˅ПϞˈ ⬅ℸ䙓ܡњ৘⾡᭄ᄺϞ ⱘᡔᴃᗻೄ䲒DŽ_Skiadasঞ _LeRoy੠ _Werner ϸᴀк↨䕗㉏Ԑˈ᠔ϡৠⱘᰃ _Skiadas

᳈ࡴ⧚䆎࣪ˈᇍ䇏㗙ⱘ᭄ᄺ⿟ᑺ㽕∖䕗催ˈԚгϡ⍝ঞ䖲㓁ᯊ䯈῵ൟDŽDuffie ᰃ↨

䕗ᴗ࿕ⱘ䆎㨫ˈ⍝ঞ䖲㓁ᯊ䯈῵ൟˈԚᇍ䌘ѻᅮӋⱘ߱ᄺ㗙ৃ㛑䖛Ѣ⏅༹੠ㅔ㒗DŽ

᳔ৢˈ੠໻䚼ߚ݊ᅗкϡৠˈ_Pennacchi 㽚Ⲫ䴶↨䕗ᑓˈ෎ᴀ⎉Ⲫњ䌘ѻᅮӋⱘ᠔

᳔᳝䞡㽕ⱘ䚼ߚˈ᭄ᄺ⿟ᑺг䗖Ёˈᰃϔᴀ߱ᄺ㗙ϡৃ໮ᕫⱘܹ䮼к㈡ˈᇍᬭᄺ㗙 ᴹ䇈гᰃϔᴀᵕ݊ᅲ⫼ⱘܹ䮼ᬭᴤDŽԚᴀкⱘ⏅ᑺ↨݊ᅗⱘк⬹⌙ѯDŽ঺໪ˈᇍ䖲 㓁ᯊ䯈੠䞥㵡Ꮉ⿟ᛳ݈䍷ⱘ䇏㗙ৃҹখ㗗_Björk˄₂₀₀₉˅៪ _Shreve˄₂₀₀₄˅DŽ

ᴀ᭛ⱘ݋ԧᅝᥦབϟDŽ೼㄀Ѡ㡖䞠ˈ៥ҟ㒡ᮽᳳⱘ䌘ѻᅮӋ㒣݌⧚䆎DŽ㄀ϝ 㡖䆆䗄ϔѯ⿡䖥ᳳⱘ䞡㽕ὖᗉঞᡔᎻˈ෎ᴀϞᰃܿकᑈҷҹৢⱘ៤ᵰDŽ㄀ಯ㡖䞠ᇚ ⴔ䞡䆆䗄䌘ѻᅮӋ᳔䖥कᑈҹᴹⱘ䖯ሩDŽ㄀Ѩ㡖ᰃᘏ㒧DŽ

ˎ ˎ

ˎ ˎˊ ˊ ˊ ˊ 㒣݌⧚䆎 㒣݌⧚䆎 㒣݌⧚䆎 㒣݌⧚䆎

䌘ѻᅮӋ⧚䆎ⱘḌᖗᅠᭈഄᓎゟ೼ϝϾѦⳌㄝӋⱘ෎⷇Ϟˈ䙷ህᰃˈ༫߽

˄_arbitrage˅ˈӬ࣪˄optimization˅੠ᑇ㸵˄equilibrium˅DŽ᠔䇧༫߽ᰃᣛᏖഎϞ ϡᄬ೼༫߽ᴎӮˈӬ࣪߭ᣛऩϔⱘҷ㸼ᗻᡩ䌘㗙䖯㸠Ӭ࣪އㄪˈ㗠ᑇ㸵߭ᣛᏖഎⱘ կ∖ᑇ㸵DŽབᵰ៥Ӏ؛ᅮ݊ЁⱘӏԩϔϾˈ៥Ӏህ㛑䆕ᯢ䱣ᴎᡬ⦄಴ᄤⱘᄬ೼DŽϡ ৠⱘ῵ൟ߭ᇐߎϡৠⱘᡬ⦄಴ᄤDŽ೼䖭ϾᛣНϞˈሑㅵϡৠⱘ῵ൟৃ㛑Ӯ㒭ߎᕜϡ ϔḋⱘӋḐ៪ᣛ⼎ᕜϡϔḋⱘއㄪˈϡৠⱘ䌘ѻᅮӋ῵ൟᰃ㒳ϔⱘDŽ᳝ѯ῵ൟ߭ⷨ

お⡍ᅮⱘᏖഎ៪䌘ѻˈ↨བ೎ᅮᬊⲞ㉏ˈ䞥㵡㸡⫳ѻકˈㄝㄝDŽ೼߱ᄺ䌘ѻᅮӋ⧚

䆎ᯊˈབᵰ⏙Ἦ䖭Ͼ໻ḚᶊˈህϡӮ೼ӫ໮ⱘ῵ൟࠡ㾝ᕫⴐ㢅㔁хDŽ

೼ 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 Modelˈৢ⬹Ў_CAPM˅ˈ༫߽ᅮӋ⧚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

݊ЁˈMarkowitz, Miller੠_Sharpe಴Ўᦤߎ੠থሩ _CAPM㗠㦋ᕫ ₁₉₉₀ᑈᑺ䇎䋱ᇨ 㒣⌢ᄺ༪ˈMerton ੠ Scholes ߭಴Ўᦤߎ੠থሩᳳᴗᅮӋ⧚䆎㗠㦋ᕫ 1997 ᑈᑺ䇎 䋱ᇨ㒣⌢ᄺ༪DŽሑㅵ䖭ѯᮽᳳ῵ൟⱘᅲ䆕㸼⦄ᑊϡᰃ⡍߿ߎ㡆ˈᇍᅗӀⱘ䗣ᕏ⧚㾷

᳝ࡽѢ៥ӀԧӮᓎゟ᳈໡ᴖ῵ൟⱘᖙ㽕ᗻ੠ৃ㸠ᗻˈ಴ℸᵕ݊䞡㽕DŽϟ䴶៥ߚ߿ᇍ

䌘ᴀ䌘ѻᅮӋ῵ൟ 䌘ᴀ䌘ѻᅮӋ῵ൟ 䌘ᴀ䌘ѻᅮӋ῵ൟ 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˅ ˈSharpe˄1964˅ ˈLintner˄1965˅ ˈMossin˄1966˅ ˈ ҹ ঞ Black

˄₁₉₇₂˅DŽ_Markowitz ⱘᎹ԰ᰃᓔ߯ᗻⱘDŽ೼ҪПࠡˈҎӀᏆ㒣䅸䆚ࠄњ亢䰽੠乘

ᳳᬊⲞ⥛П䯈ⱘ݇㋏DŽ_Markowitz ⱘ䋵⤂೼Ѣᅗᦤߎњ亢䰽ߚᬷ˄diversification˅ 䖭ϾὖᗉDŽϔϾॠᙊ亢䰽ⱘᡩ䌘㗙Ꮰᳯ೼೎ᅮ乘ᳳᬊⲞ⥛ⱘৠᯊᡓᢙሑ䞣ᇣⱘ亢䰽DŽ

Markowitz ⫼ᮍᏂᴹᦣ䗄ϔϾ䱣ᴎᬊⲞ⥛ⱘ亢䰽DŽᡩ䌘㗙䗮䖛䇗㡖৘Ͼ䌘ѻ೼㒘ড়

Ёⱘ↨՟ᴹՓᮍᏂ᳔ᇣ࣪DŽሑㅵৃҹ䇈 _Markowitzᓔਃњ៪䗔ϔℹ䇈ᕅડњᭈϾ⧚

䆎䞥㵡⬠ˈ೼ᔧᯊҪⱘᎹ԰ⱘ䞡㽕ᗻᑊ≵᳝㹿偀Ϟ䅸䆚ࠄDŽџᅲϞˈ೼ Markowitz

ⱘम຿䆎᭛ྨਬӮЁⱘ _Friedman˄ৢ㗙ҹৢгᰃ䇎䋱ᇨ༪㦋ᕫ㗙˅䋼⭥ _Markowitz ⱘ Ꮉ԰ᰃ ৺ 䖒ࠄњ 㒣 ⌢ ᄺम ຿ⱘ∈ ޚ㽕∖DŽৢᴹ ˈSharpe˄1964˅ ˈLintner

˄1965˅ˈMossin˄1966˅ˈҹঞ Black˄1972˅জᇍ Markowitzⱘഛؐ-ᮍᏂ⧚䆎

԰њᓊԌDŽ_Sharpe ⱘ㛮⊼ЁᏆ㒣㄀ϔ⃵ߎ⦄њ⦄ҷ _CAPM ⱘᮍ⿟ᓣˈাᰃҪⱘヺ

ো੠⦄ҷ䗮⫼ⱘ᳝᠔ϡৠDŽBlack 䆕ᯢњབᵰϡᄬ೼᮴亢䰽䌘ѻᯊˈ䗮ᐌⱘ CAPM

Ӯ㹿ϔϾ䳊 – CAPM᠔ҷ᳓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঺໪ˈ᳝ᬜ䖍⬠

˄efficient frontier˅ ˈ䳊Ⳍ ݇ 㒘 ড় ˄zero-correlated portfolio˅ ˈ ෎ 䞥 ߚ⾏ᅮ ⧚

˄fund separation theorem˅ㄝгᰃ CAPM Ёᵕ݊䞡㽕ⱘὖᗉDŽ乎֓ᦤϔϟˈ䇏䖭

ѯॳ㨫ᯊ䳔⊼ᛣ೼ᮽᳳ᭛⤂Ё᳝ᬜ䖍⬠೒Ё῾㒉തᷛߚ߿ᰃ乘ᳳಲ᡹⥛੠ᷛޚᮍᏂˈ

੠⦄ҷⱘдᛃℷདⳌডDŽ

⧚䆎Ϟˈऩᳳⱘ CAPM ⱘ᥼ᇐ᳝໮⾡ᔶᓣDŽ↨བ៥Ӏৃҹ؛ᅮℷᗕߚᏗⱘ䱣 ᴎᬊⲞ⥛៪⡍ᅮⱘᬜ⫼ߑ᭄DŽ៥䞛⫼ⱘᳳᳯؐ_-ᮍᏂӬ࣪ᮍ⊩བϟDŽ؛䆒ᡩ䌘ᴎӮ ᰃ nϾ㒓ᗻϡⳌ݇ⱘᏺ亢䰽䌘ѻˈᑊ䅽 R_i㸼⼎䌘ѻi೼ᯊᳳ᳿ⱘ䱣ᴎᬊⲞ⥛DŽ؛䆒 乘ᳳಲ᡹⥛৥䞣ᰃ णᮍᏂⶽ䰉ᰃ

DŽ DŽ DŽ DŽϔϾᳳᳯؐ

-ᮍᏂᡩ䌘㗙 ⱘ䯂乬ᰃᗢḋ䗝ᢽ৘Ͼ䌘ѻⱘᴗ䞡 ᴹՓᕫᡩ䌘㒘ড়ⱘᮍᏂ᳔ᇣDŽ䖭䞠᳝ϸϾ䰤ࠊ ᴵӊDŽϔϾᰃᴗ䞡ᕫࡴ੠Ў 1DŽ঺ϔϾᴵӊᰃᡩ䌘㒘ড়ⱘ乘ᳳᬊⲞ⥛೎ᅮ೼ϔϾᅲ

᭄ؐ DŽ៥Ӏҹ ᴹҷ㸼᠔᳝ߚ䞣䛑ᰃ1ⱘ৥䞣DŽ݋ԧⱘӬ࣪䯂乬བϟ˖

(2.1)

ᑊ⒵䎇ᴗ䞡ࡴ੠Ў1ˈҹঞ䖒ࠄⳂᷛ乘ᳳᬊⲞ⥛

(2.2)

೼ ग़䘡ᅲ᭄䕈ᯊ᠔᳝ⱘ㾷䛑㹿⿄Ў᳝ᬜ㒘ড়˄efficient portfolio˅ˈ ᅗӀⱘܼԧ ህᰃ᳝ᬜ䖍⬠DŽ䖭Ͼ䯂乬ᕜᆍᯧ⫼ᢝḐᳫ᮹Ьᄤ˄Lagrangian multiplier˅ⱘᮍ⊩∖

㾷DŽ㾷ⱘᔶ࢓ᰃϸϾ᳝ᬜ㒘ড়ⱘࡴᴗᑇഛDŽ㄀ϔϾ㒘ড়ⱘᴗ䞡੠ ៤ℷ↨DŽ㄀

ѠϾ㒘ড়ⱘᴗ䞡੠ ៤ℷ↨DŽ㄀ѠϾ㒘ড়݊ᅲℷᰃܼሔᮍᏂ᳔ᇣ࣪㒘ড়˄_global

minimum variance portfolio˅DŽৃҹ䆕ᯢ᳝ᬜ䖍⬠೼ᷛޚᮍᏂ_-乘ᳳᬊⲞ⥛ぎ䯈Ёᰃ ϔᴵঠ᳆㒓ⱘℷᬃDŽ

᳝ᬜ㒘ড়ⱘᴗ䞡ᔶᓣⱘ঺ϔϾᵕ䞡㽕ⱘ⡍⚍ᰃ੠೎ᅮⱘ乘ᳳᬊⲞ⥛ ៤ℷ↨DŽ བᵰӏᛣ೼᳝ᬜ䖍⬠Ϟ䗝ᢽϸϾ䴲ܼሔᮍᏂ᳔ᇣ㒘ড়ˈ䖭Ͼ៤ℷ↨ⱘ⡍⚍Փᕫ᠔᳝

᳝ᬜ䖍⬠Ϟⱘ㒘ড়䛑ৃҹ䗮䖛䖭ϸϾ䗝ᅮⱘ㒘ড়ᴹѻ⫳DŽ䖭ህᰃϔϾ݅ৠ෎䞥ᅮ⧚ˈ 䗮ᐌ⿄ЎѠ෎䞥ߚ⾏ᅮ⧚˄Two Funds Separation Theorem˅DŽѠ෎䞥ߚ⾏ᅮ⧚ᣛߎˈ ሑㅵ᳔߱㒭ᅮⱘᡩ䌘ᴎӮЁ᳝ _n Ͼᏺ亢䰽䌘ѻˈᇍϔϾᳳᳯؐ_-ᮍᏂᡩ䌘㗙ᴹ䇈ˈ བᵰা㒭ҪϸϾ᳝ᬜ㒘ড়԰Ўᏺ亢䰽䌘ѻˈᡩ䌘ᴎӮ੠ॳᴹⱘnϾᏺ亢䰽䌘ѻᰃᅠ

ܼㄝৠⱘDŽ

CAPM ЁϔϾᵕ䞡㽕ⱘὖᗉᰃ DŽ೼䆆

೼䆆 ೼䆆 ೼䆆

ⱘᯊ׭ˈ៥Ӏᖙ乏㒭ᅮϸϾ᳝ᑣⱘ㒘 ড় _p੠_q˄ϡϔᅮᕫ᳝ᬜ˅DŽ䖭Ͼ ⱘᅮНᰃ㒘ড় _p੠_qⱘ䱣ᴎᬊⲞ⥛ⱘणᮍᏂ 䰸ҹ㒘ড়qⱘ䱣ᴎᬊⲞ⥛ⱘᮍᏂDŽ❳ᙝ㒓ᗻಲᔦⱘ䇏㗙ৃ㛑Ꮖ㒣থ⦄䖭ህᰃऩϔব 䞣㒓ᗻಲᔦⱘ㋏᭄DŽᓩܹ 䖭ϾὖᗉҹৢˈᇍӏԩϔϾ䴲ܼሔ᳔ᇣᮍᏂ᳝ᬜ㒘ড় _mˈ ៥Ӏৃҹ䆕ᯢᄬ೼ଃϔⱘϔϾ᳝ᬜ㒘ড় _z, Փᕫ

DŽ DŽ DŽ DŽгህᰃ䇈䰸њܼሔ᳔ᇣ

ᮍᏂ᳝ᬜ㒘ড়ˈ݊ᅗⱘ᳝ᬜ㒘ড়䛑ᰃϔᇍϔᇍⱘˈ↣ϔᇍ䞠ⱘϸϾ㒘ড়ᰃϡⳌ݇ⱘDŽ 䖯ϔℹˈ↣ϔᇍ䞠ⱘϸϾ㒘ড়ߚ߿໘Ѣܼሔ᳔ᇣᮍᏂ᳝ᬜ㒘ড়ⱘϸջDŽᅗӀⱘϸϾ 乘ᳳᬊⲞ⥛Ϣܼሔ᳔ᇣᮍᏂ᳝ᬜ㒘ড়ⱘ乘ᳳᬊⲞ⥛ⱘ䎱⾏ⱘЬ⿃ᰃϔϾϡձ䌪Ѣ䖭 Ͼ⡍ᅮᇍⱘᐌ᭄ˈᑊϨᅗӀⱘϸϾ䱣ᴎᬊⲞ⥛ⱘᮍᏂⱘ䇗੠ᑇഛℷདᰃܼሔ᳔ᇣᮍ Ꮒ᳝ᬜ㒘ড়ⱘ乘ᳳᬊⲞ⥛ⱘᮍᏂⱘϸסDŽ䖭ϸϾᗻ䋼ԐТ᳾᳒೼᭛⤂Ёߎ⦄䖛DŽ߽

⫼䖭ѯᗻ䋼ˈᇍ೎ᅮⱘϔϾϡⳌ݇㒘ড়ᇍ _m੠_zˈৃҹ䆕ᯢӏԩϔϾ᳝ᬜ㒘ড় _pⱘ 䱣ᴎᬊⲞ⥛䛑ᰃ m੠ z ⱘ䱣ᴎᬊⲞ⥛ⱘࡴᴗᑇഛˈ㗠ϸϾᴗ䞡ᙄᙄህᰃ p ݇Ѣ m

੠ _zⱘ ؐDŽ䖭ህᰃ Black˄1972˅䞠ᦤߎⱘ䳊 – CAPM῵ൟDŽҹϞⱘ䆕ᯢᮍ⊩

ӬѢॳ㨫Ё↨䕗෎ᴀ੠⧤⹢ⱘᮍ⊩DŽ⊼ᛣ䳊 _{– CAPM}῵ൟᅲ䰙ϞᰃϔϾ䱣ᴎᬊⲞ

⥛ߚ㾷ᔶᓣDŽ೼䖭Ͼߚ㾷ᔶᓣЁⱘϸϾ෎ህᰃm੠zⱘ䱣ᴎᬊⲞ⥛DŽ

೼䗮ᐌᔶᓣⱘ _CAPM 䞠ᰃ᳝᮴亢䰽䌘ѻⱘDŽ೼ᷛޚᮍᏂ_-乘ᳳᬊⲞ⥛ぎ䯈Ё ᮴亢䰽䌘ѻ੠ӏԩ݊ᅗ䌘ѻⱘ᠔᳝㒘ড়ⱘ䔼䗍ᰃϔᴵⳈ㒓DŽ៥ӀᏆⶹ᠔᳝ᏺ亢䰽䌘 ѻ㒭ߎⱘ᳔Շᡩ䌘ᴎӮህᰃ᳝ᬜ䖍⬠DŽ಴ℸˈ೼ࡴܹϔϾ᮴亢䰽䌘ѻৢˈ᳔Շᡩ䌘 ᴎӮህ៤њϔᴵϢॳ᳝ᬜ䖍⬠Ⳍߛⱘℷ᭰⥛ⱘⳈ㒓DŽ䖭ᴵߛ㒓ህᰃ᠔䇧ⱘ䌘ᴀᏖഎ

㒓˄capital market line˅DŽ䖭Ͼߛ⚍Ϟⱘ㒘ড়ህᰃ᠔䇧ⱘᏖഎ㒘ড় _mDŽ᠔᳝ⱘᡩ䌘

㗙ˈϡㅵҪӀⱘ亢䰽ᛣᜓབԩˈ䛑ৠᛣৠϔϾᏖഎ㒘ড়DŽҪӀⱘϡৠ⚍ᰃ䗝ᢽϡৠ ⱘ᮴亢䰽㒘䌘ѻϢᏖഎ㒘ড়П䯈ⱘ↨՟DŽ䖭ᰃ೼᳝᮴亢䰽䌘ѻᯊⱘѠ෎䞥ᅮ⧚ˈ䗮 ᐌᡞᅗ⿄Ў䋻ᏕᏖഎ෎䞥ߚ⾏ᅮ⧚˄Money Market Fund Separation Theorem˅DŽ

ϔϾ㒘ড়ⱘ䱣ᴎᬊⲞ⥛ Ϣ᮴亢䰽䌘ѻⱘᬊⲞ⥛ ⱘᏂ㹿⿄Ў䍙乱䱣ᴎᬊⲞ

⥛˄excess return˅DŽϔϾ䌘ѻ៪㒘ড়ⱘ乘ᳳ䍙乱ᬊⲞ⥛ϢᅗⱘᷛޚᮍᏂⱘଚህᰃ

ऩԡ亢䰽᡹䝀ˈг⿄໣᱂↨⥛ ˄Sharpe ratio˅DŽ䌘ᴀᏖഎ㒓Ϟⱘ㒘ড়݋᳔᳝໻ⱘ

໣᱂↨⥛ˈϔ㠀䆄԰ DŽ

೼ᄬ೼᮴亢䰽䌘ѻᯊˈϔ㠀ᇍ䍙乱䱣ᴎᬊⲞ⥛䖯㸠ߚ㾷DŽᕫࠄⱘᮍ⿟ᓣህᰃ

㨫ৡⱘ_CAPM ᮍ⿟ᓣˈབϟ᠔⼎˖

! " # (2.3)

䖭䞠 _!䖭䚼ߚᰃ಴ЎᡓᢙᏖഎ亢䰽㗠ᓩ䍋ⱘᬊⲞ⥛ˈ ᰃϔϾ䌘ѻⱘ⡍

ᅮ亢䰽ˈᅗϢ 䳊Ⳍ݇ˈᑊϨᳳᳯؐᰃ ₀DŽ᠔ҹ জ㹿⿄Ў䴲㋏㒳ᗻ亢䰽˄_non-

systematic risk˅DŽᡓᢙ䴲㋏㒳ᗻ亢䰽া๲ࡴᮍᏂˈԚϡᇍ乘ᳳᬊⲞ⥛᳝ӏԩⱘ䋵⤂DŽ

ᇍϞᓣ∖ᳳᳯؐˈ៥Ӏথ⦄乘ᳳ䍙乱ᬊⲞ⥛Ϣ ៤㒓ᗻ݇㋏ˈ䖭ህᰃ᠔䇧ⱘ䆕ࠌᏖ എ㒓˄security market line˅DŽ

೼ _CAPM ᮍ⿟ᓣЁ᳝ᬜ㒘ড় _m ᰃ⬅ ੠㒃亢䰽䌘ѻ᳝ᬜ䖍⬠݅ৠއᅮⱘDŽ

ৃҹ䆕ᯢᅗⱘᴗ䞡৥䞣੠ _!៤ℷ↨DŽབᵰϡ㗗㰥णᮍᏂⶽ䰉ⱘ䆱ˈ৘

Ͼॳྟ䌘ѻ೼Ꮦഎ㒘ড়䞠ⱘ↨䞡੠ᅗӀⱘ乘ᳳ䍙乱ᬊⲞ⥛៤ℷ↨_, 䖭Ͼ㒧ᵰヺড়៥ ӀⱘⳈ㾝DŽ

೼㒧ᴳCAPMⱘҟ㒡ࠡˈ៥ᦤϔϟ೼ᑨ⫼Ёᕜ᳝⫼ⱘ޴ϾᓊԌDŽ೼ CAPMЁ

m ᰃϔϾ᳝ᬜ㒘ড়DŽབᵰ៥Ӏ⫼ϔϾϡϔᅮᰃ᳝ᬜ㒘ড়ⱘ⍜ᵕᡩ䌘㒘ড়_pᴹҷ᳓ᅗ Ӯᗢḋਸ਼˛೼䖭⾡ᚙމϟབᵰা㗗㰥᮴亢䰽䌘ѻ੠pП䯈ⱘ㒘ড়ⱘ䆱ˈ៥Ӏা㛑ᕫ ࠄϔϾ䕗ᇣⱘ໣᱂↨⥛ DŽTreynor ੠ Black ˄1973˅ᓩܹњ⿃ᵕㅵ⧚㒘ড়ⱘὖᗉDŽ 䖭Ͼ⿃ᵕㅵ⧚㒘ড় _a ৃҹ䗮䖛᳔໻ֵ࣪ᙃ↨⥛˄information ratio˅_$ ᴹᕫࠄDŽ

Black੠Treynor 䖯ϔℹ䆕ᯢњϔϾ࣒㙵ᅮ⧚

" $ (2.4)

䖭Ͼᮍ⿟ᣛߎ䗮䖛⿃ᵕㅵ⧚㒘ড়੠⍜ᵕ㒘ড়ϸℹ䍄ˈ៥Ӏгৃҹಲࠄॳᴹⱘ䌘ᴀᏖ എ㒓ϞএDŽᤳ༅ⱘ໣᱂↨⥛߮ད⬅⿃ᵕㅵ⧚㒘ড়ⱘֵᙃ↨⥛㸹ಲDŽ_MacKinlay

˄1995˅߭ᣛߎֵᙃ↨⥛ᅲ䰙ϞгᰃϔϾ㒘ড়ⱘ໣᱂↨⥛DŽᇍϞ䗄ᮍ⿟ᓣгৃҹ⧚

㾷Ў _m ⹂ᅲᰃ᳝ᬜⱘˈԚ෎䞥ㅵ⧚㗙ᢹ᳝⾕ֵ᳝ᙃˈ᠔ҹҪৃҹᕫࠄ↨Ꮦഎ໣᱂

↨⥛᳈催ⱘऩԡ亢䰽᡹䝀DŽ_Treynor ੠ _Black ॳ᭛Ё䞛⫼ৢϔ⾡䕗⣁Нⱘ⧚㾷DŽ঺

໪ϔϾ CAPM ⱘᓊԌᰃ Black-Litterman῵ൟ˄Black ੠ Littermanˈ1992˅DŽ䖭䞠

෎䞥ㅵ⧚㗙гᢹ᳝⾕ֵ᳝ᙃˈԚҪ߽⫼䋱৊ᮃ˄_Bayesian˅⧚䆎ᴹ᳈ᮄ乘ᳳᬊⲞ⥛

৥䞣੠णᮍᏂⶽ䰉ˈ✊ৢݡ䖯㸠ᳳᳯؐ-ᮍᏂӬ࣪DŽ᳔ৢˈ೼ CAPM Ё亢䰽ᰃ⫼ᮍ Ꮒᴹ῵ᢳⱘˈ᳝Ⳍᔧϔ䚼ߚⷨおᎹ԰⫼݊ᅗ৘⾡亢䰽ⱘ⌟ᑺᴹҷ᳓ᮍᏂˈ↨བ෎ሐ

㋏᭄˄Gini coefficient˅ˈ_VaRˈㄝㄝDŽ䖭䞠ϡ԰䆺㒚ҟ㒡DŽ

༫߽ᅮӋ⧚䆎 ༫߽ᅮӋ⧚䆎 ༫߽ᅮӋ⧚䆎 ༫߽ᅮӋ⧚䆎

ऩᳳⱘCAPMЁা᳝ϔϾ಴㋴ˈ䙷ህᰃᏖഎⱘ䱣ᴎᬊⲞ⥛DŽԚᮽ೼1966ᑈˈ

King˄₁₉₆₆˅ህ೼ᅲ䆕Ёথ⦄䰸њᏖഎ಴㋴໪ˈᎹϮ⬠಴㋴ԐТгᕅડ䌘ѻⱘ乘ᳳ

ᬊⲞ⥛DŽ䖭г䆌ᰃ༫߽ᅮӋ⧚䆎ⱘ᳔ᮽⱘϔϾߎথ⚍DŽ

༫߽ᅮӋ⧚䆎˄_APT˅੠ _CAPM ϡৠˈৃҹ᳝໮Ͼ಴㋴DŽᅗⱘ؛䆒г੠

CAPMϡৠˈϔ㠀ৃҹ䅸Ў _APTⱘ؛䆒⿡ᖂᔅϔѯˈԚᰃҷӋᰃ _APTⱘ㒧䆎гᔅ ϔ ѯ DŽ ೼ APT ⱘ থ ሩ 䖛⿟Ё䍋䞡 㽕԰⫼ ⱘ ᭛⤂᳝ Ross˄1976˅ ˈHuberman

˄₁₉₈₂˅ˈChamberlain ੠ _Rothschild˄₁₉₈₃˅ˈChamberlain˄₁₉₈₃˅ˈ_Ingersoll

˄1984˅ˈҹঞ Connor˄1984˅DŽ᳔ᮽⱘAPTߎ⦄೼ RossˈҪᡞ⧚䆎ϹḐഄᓎゟ

೼ᖂ㾖㒣⌢ⱘ෎⸔ϞˈԚᰃ䇏䖭㆛ॳ㨫ᯊᗱ䏃ϡᆍᯧ⧚⏙DŽHubermanᡞ APTⱘ᥼

ᇐ԰њㅔ࣪DŽㅔ࣪ⱘ㽕㋴ᰃᓩ䖯њ⏤䖯༫߽˄asymptotic arbitrage˅䖭ϾὖᗉDŽ

Chamberlain ੠ Rothschildˈҹঞ Chamberlain 䆺㒚ഄ㾷䞞њ APTˈᳳᳯؐ-ᮍᏂߚ ᵤ੠಴㋴ߚᵤП䯈ⱘ݇㋏DŽIngersollҹঞ Connorজᇍ APTⱘ৘Ͼᮍ䴶԰њ᳈㒚㟈 ⱘⷨおDŽ݊Ё _Ingersoll Ң⧚䆎ϞϹḐߚᵤњ᠔䳔಴㋴ⱘϾ᭄ˈᰃᕜ᳝ਃথᗻⱘ᭛

ゴDŽ

ϟ䴶៥ㅔऩҟ㒡ϔϟ Huberman˄1982˅ⱘЏ㽕ⷨお㒧ᵰDŽҪ㗗㰥ϔ䖲ІⱘᏖ എˈ↣ৢϔϾᏖഎ↨ᅗࠡϔϾ໮ߎϔϾϡৠⱘ䌘ѻDŽ೼㄀_nϾᏖഎЁ᳝_nϾᏺ亢䰽 䌘ѻˈԚᰃϡㅵ೼ાϾᏖഎЁˈ᠔᳝䌘ѻⱘᬊⲞ⥛ҙҙ⬅ kϾ೎ᅮⱘ಴㋴ѻ⫳DŽ䖭 ᰃAPT䞠᳔䞡㽕ⱘ῵ൟ؛䆒ˈ⫼᭄ᄺᮍ⿟㸼⼎བϟ˖

% & " ' " # (2.5)

䖭䞠_%ᰃ _n Ͼ䌘ѻⱘᬊⲞ⥛৥䞣ˈ_&ᰃᅗӀⱘᑇഛᬊⲞ⥛৥䞣ˈ_'ᰃϔϾ಴㋴

ⶽ䰉ˈᅗⱘ↣ϔϾ߫৥䞣ҷ㸼ϔϾ಴㋴ˈ 㹿⿄Ў಴㋴䋳㥋ⶽ䰉ˈ_#ᰃϔϾ䱣ᴎ৥

䞣DŽ_Huberman 䖬؛䆒_'ℷѸᔦϔˈҹঞ_#ⱘ݇㘨ⶽ䰉ᰃᇍ㾦ⱘˈᑊ᳝ϔ㟈ⱘϞ䰤DŽ

䖭ѯ؛䆒䛑ϡᰃᖙ䳔ⱘˈ㗠ᰃৃҹᔅ࣪DŽ_APT ⱘⳂⱘᰃᇐߎϔϾ㾷䞞ᑇഛᬊⲞ⥛_&

ⱘ῵ൟDŽЎ䖒ࠄ䖭ϾⳂⱘˈHuberman ᓩ䖯њϔϾ⏤䖯༫߽ⱘὖᗉDŽϔϾᡩ䌘ㄪ⬹

೼䖭Ͼ῵ൟ䞠ᰃϔ䖲Іⱘ৥䞣ˈ↣Ͼ৥䞣ᰃϔϾ೼㄀_nϾᏖഎ䞠ⱘᡩ䌘㒘ড়DŽབᵰ ϔϾᡩ䌘ㄪ⬹ _c೼᠔᳝Ꮦഎ䞠䛑ϡ䳔㽕ӏԩޔᡩܹˈԚᅗ೼↣ϾᏖഎ䞠ⱘᑇഛᬊⲞ

⥛䍟৥Ѣℷ᮴かˈৠᯊᅗ೼↣ϾᏖഎ䞠ⱘ䱣ᴎᬊⲞ⥛ⱘᮍᏂ䍟৥Ѣ䳊ˈᅗህ㹿⿄Ў ϔϾ˄⏤䖯˅༫߽㒘ড়DŽ_Huberman Ё≵᳝ᦤঞˈԚ༫߽㒘ড়ⱘϸϾ݇Ѣ䱣ᴎᬊⲞ

⥛ⱘᳳᳯؐ੠ᮍᏂⱘᴵӊৃҹㅔ࣪៤ϔϾᴵӊ˖བᵰᄬ೼ϔϾޔᡩܹЎ䳊ⱘᡩ䌘ㄪ

⬹ˈᑊϨᅗ᳝ϔϾᄤᑣ߫ՓᕫᑇഛᬊⲞ⥛ϢᷛޚᮍᏂⱘଚ䍟৥Ѣ᮴かˈ 䙷МᏖഎ Ϟህᄬ೼⏤䖯༫߽㒘ড়DŽ

䰸এ߮ᓔྟⱘᏖഎ㒧ᵘⱘ؛䆒ˈ_APT ⱘ⧚䆎ᓎゟ೼ଃϔⱘϔϾ؛䆒ПϞˈ䙷 ህᰃᏖഎ䞠ϡᄬ೼⏤䖯༫߽DŽAPT ⱘ㒧䆎ᰃ˖བᵰᏖഎ䞠ϡᄬ೼⏤䖯༫߽ˈ䙷М 乘ᳳᬊⲞ⥛ᖙ乏䖥Ԑഄ⒵䎇ϔϾ㒓ᗻ݇㋏ˈ гህᰃ䇈ˈᑇഛᬊⲞ⥛ৃҹ䖥Ԑ⫼ᐌ

᭄৥䞣੠_'Ёⱘ৥䞣ᴹ㸼⼎DŽབᵰՓ⫼ҹϞⱘㅔ࣪ᴵӊˈAPT ⱘ᥼ᇐ݊ᅲⳌᔧⱘㅔ ऩDŽϔ㠀Փ⫼ড䆕⊩DŽ؛䆒ᑇഛᬊⲞ⥛ϡ䖥Ԑഄ⒵䎇Ϟ䗄㒓ᗻ݇㋏DŽབᵰ៥Ӏᡞ৥

䞣_&ᡩᕅࠄ⬅ᐌ᭄৥䞣੠_'Ёⱘ৥䞣ᵘ៤ⱘᄤぎ䯈Ϟˈ䙷Мৃҹ䆕ᯢಲᔦ⅟Ꮒ৥䞣

ህᵘ៤њϔϾ⏤䖯༫߽㒘ড়DŽ

APT੠ _CAPM ᰃᓎゟ೼ϡৠ؛䆒ПϞⱘϸϾϡৠⱘ⧚䆎ˈϹḐϞ䇈ϡ㛑䖛Ѣ ㅔऩഄ䖯㸠↨䕗DŽԚབᵰ៥Ӏ೼ _APT Ёᗑ⬹Ā⏤䖯ā䖭Ͼ䞡㽕ⱘ؛䆒ˈ 䙷М

CAPMৃҹㅔऩഄⳟ៤ᰃAPTⱘϔϾ⡍՟DŽ

⍜䌍䌘ᴀ䌘ѻᅮӋ῵ൟ ⍜䌍䌘ᴀ䌘ѻᅮӋ῵ൟ ⍜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 䎼ᳳ䌘ᴀ䌘ѻᅮӋ῵ൟ 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੠APTП໪ϸϾ↨䕗᳝ᕅડ࡯ⱘ῵ൟDŽᅗӀৃҹ㹿ⳟ៤ᰃCAPMⱘ⡍՟

ঞ᥼ᑓDŽ೼ _CCAPM Ёˈ⍜䌍੠ᡩ䌘㒘ড়㹿ϔ䍋㗗㰥DŽ

DŽ DŽ DŽ

_ICAPM ߭ᰃ㗗㰥໮ᳳⱘ῵

ൟˈ䖭ѯ῵ൟৃҹᰃ⾏ᬷᯊ䯈໮ᳳⱘˈ гৃҹᰃ䖲㓁ᯊ䯈໮ᳳⱘDŽ䖭ϸϾ῵ൟᑊ ϡᰃϔϾ೎ᅮⱘᄸゟⱘ῵ൟˈ㗠ᰃϸϾ໻ḚᶊDŽCCAPM ੠ ICAPM ᑊϡᅠܼѦⳌ

ᥦ᭹DŽ_CCAPM ৃҹᰃ䎼ᳳⱘˈ_ICAPM гৃҹࣙ৿⍜䌍䖭Ͼ಴㋴DŽ⬅Ѣ䖭ϸϾ῵

ൟ㒣ᐌᰃԴЁ᳝៥ˈ៥Ё᳝Դˈ᠔ҹ៥Ӏϔᑊҟ㒡DŽ

ᮽ೼ 1928 ᑈˈRamey˄1928˅ህ㗗㰥њϔϾ䎼ᳳ⍜䌍䌘ᴀ䌘ѻᅮӋ῵ൟDŽሑ

ㅵҪⷨおњ໮ᳳ῵ൟˈ ԚҪা㗗㰥ऩϔ೎ᅮᬊⲞ⥛䌘ѻDŽⳈࠄ޴कᑈҹৢˈ

Mossin˄1968˅, Samuelson˄1969˅੠ Merton˄1969˅ᠡ㛑໳㾷އᏺ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ᵰᰃ䎼ᳳ⍜䌍䌘ᴀ䌘ѻᅮӋ῵ൟϔ㠀Ӯᇐߎ໮಴㋴䱣ᴎᬊⲞ⥛῵ൟDŽ݊Ё Ꮦഎ㒘 ড়Ӯᰃ ϔϾ಴㋴ˈ঺ ໪䩜ᇍ↣ϔϾ 䱣ᴎ⢊ᗕব䞣ϔ㠀䛑Ӯ᳝ϔ Ͼᇍކ

˄hedge˅಴㋴DŽ಴ℸ೼ᔶᓣϞ ICAPM੠ APT䕗㉏ԐDŽ՟໪ᰃᇍ᭄ᬜ⫼ߑ᭄˄log

utility˅ⱘ⡍⅞ᚙމϟˈᡩ䌘㗙㒣ᐌӮ᳝ᗑ⬹䱣ᴎ⢊ᗕব䞣ⱘⷁ㾚˄_myopic˅㸠Ўˈ

಴ℸऩ಴㋴ҡᮻ៤ゟDŽ

೼ CCAPM Ёˈ䌘ѻⱘᑇഛᬊⲞ⥛㹿ᭈϾ㒣⌢Ёⱘᘏ⍜䌍ⱘ៤䭓⥛᠔އᅮˈ

гህᰃৃҹ䅸Ўˈ೼CCAPMЁˈCAPMЁⱘᏖഎᬊⲞ⥛੠ᇚᴹ⍜䌍ⱘ䖍㓬ᬜ⫼ߑ

᭄ᰃᅠܼ䋳Ⳍ݇ⱘDŽ೼䖭ϔ⚍Ϟˈৃҹ䅸Ў_CCAPMᰃ_CAPMⱘ⡍՟DŽԚ_CCAPM

ৃҹᰃ䎼ᳳⱘˈ䖭ϔ⚍ৃҹⳟ៤ᰃ CAPM ⱘ᥼ᑓDŽ঺໪ˈ᳔ㅔऩⱘ CCAPM

˄_Breedenˈ ₁₉₇₉˅ ৃҹⳟ៤ᰃϔϾㅔ࣪њⱘ _ICAPM ῵ൟˈ ᅗᡞϔϾ໮಴㋴ⱘ

ICAPM ῵ൟ⫼ϔϾ⍜䌍಴㋴ὖᣀњDŽ䖭⾡ㅔ࣪ⱘḍᴀॳ಴ᰃᮽᳳⱘ῵ൟϔ㠀Փ⫼

ᯊ䯈Ϟৃߚᢚ˄time-separable˅ⱘᬜ⫼ߑ᭄DŽ

㾷 _ICAPM ῵ൟ䗮ᐌ᳝ϸ⾡ᡔᎻˈϔ⾡ᰃࡼᗕ㾘ߦ˄dynamic programming˅ˈ

ϔ⾡ᰃ䵙䖛⿟˄martingale approach˅DŽ೼ࡼᗕ㾘ߦЁˈ㾷῵ൟⱘ䖛⿟ᰃҢ᳔ৢࠄ

᳔ࠡˈे᠔䇧ⱘצ৥ᔦ㒇˄backward induction˅DŽ೼⾏ᬷᯊ䯈῵ൟЁˈ↣ϔℹ䛑៤ ЎњϔϾऩᳳ῵ൟDŽ೼䖲㓁ᯊ䯈Ёˈ㉏Ԑⱘ᥼ᇐৃҹᕫߎ᳝ৡⱘ _Bellmanأᖂߚᮍ

⿟DŽ_Bellman ᮍ⿟ϔ㠀ᰃ䴲㒓ᗻⱘᑊᕜᇥ᳝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ᏖഎᰃᅠᭈⱘˈԚ _He੠ _Pearson˄₁₉₉₁˅

ᡞ䵙䖛⿟ᮍ⊩᥼ᑓࠄϡᅠᭈᏖഎᚙᔶDŽ೼䵙䖛⿟Ёˈᡩ䌘㗙ⱘ䋶ѻ㹿㾚ЎϔϾӬ࣪

њⱘᡩ䌘㒘ড়ⱘӋؐˈ㗠⍜䌍ህⳌᔧѢ䖭Ͼᡩ䌘㒘ড়ⱘ㑶߽DŽ߽⫼䱣ᴎᡬᠷ಴ᄤⱘ ὖᗉˈ䋶ѻৃҹ㸼⼎៤᳾ᴹ㑶߽⌕䞣ⱘ⦄ᯊӋؐDŽՓ⫼䖭Ͼ乘ㅫ㑺ᴳ˄_budget

constraint˅ᮍ⿟ᓣˈ໮ᳳⱘᡩ䌘⍜䌍䯂乬㹿ⓨ࣪៤ϔϾ݇Ѣ᳔Շ⍜䌍䗨ᕘⱘবߚ䯂

乬˄variational problem˅DŽ䖭Ͼবߚ䯂乬ⱘ㾷䗮ᐌӮᓩᇐ㟇ϔϾ㒓ᗻⱘأᖂߚᮍ⿟DŽ

⬅Ѣᰃ㒓ᗻⱘˈ䖭Ͼᮍ⿟ৃ㛑Ӯ↨ Bellmanᮍ⿟᳈ᆍᯧ㾷DŽ᳔Շᡩ䌘㒘ড়ⱘ↨՟߭

ϔ㠀೼㾷ߎ⍜䌍䏃ᕘ੠䋶ѻৢݡऩ⣀㾷އDŽ

ˏ

ˏ ˏ

ˏˊ ˊ ˊ ˊ 䖥ᳳ 䖥ᳳ 䖥ᳳ 䖥ᳳ䞡㽕 䞡㽕 䞡㽕⧚䆎ঞ 䞡㽕 ⧚䆎ঞ ⧚䆎ঞᡔᎻ ⧚䆎ঞ ᡔᎻ ᡔᎻ ᡔᎻ

䱣ᴎᡬ⦄಴ᄤ 䱣ᴎᡬ⦄಴ᄤ 䱣ᴎᡬ⦄಴ᄤ˄ 䱣ᴎᡬ⦄಴ᄤ ˄ ˄ ˄

Stochastic Discount Factor

˅ ˅ ˅ ˅

䱣ᴎᡬ⦄಴ᄤᰃϔϾ⡍⅞ⱘ䱣ᴎব䞣 ᅗৃҹ㒭ߎᏖഎϞ᠔᳝䌘ѻⱘӋḐDŽ ҹऩᳳ῵ൟЎ՟ˈབᵰϔϾ䌘ѻⱘ䱣ᴎᬊⲞᰃ_%䙷МᅗⱘӋḐህ⬅݀ᓣ _% 㒭ߎDŽᇍӏԩ䱣ᴎᬊⲞ⥛ 㗠㿔ˈ᳝߭ DŽ᠔᳝䌘ѻᅮӋ⧚䆎ৃҹ䗮䖛䱣ᴎ ᡬ⦄಴ᄤᴹᦣ䗄DŽџᅲϞˈCochrane˄2001˅ҹঞ Shefrin ˄2008˅ 䖭ϸ䚼䆎㨫䗮

㆛䛑Փ⫼䱣ᴎᡬ⦄಴ᄤ䖭⾡䇁㿔DŽ

䱣ᴎᡬ⦄಴ᄤⱘᄬ೼ᗻˈ㒓ᗻϢ৺ˈଃϔᗻˈߚ䞣ⱘℷ䋳ᗻˈऩ䇗ᗻˈᮍᏂ 㒧ᵘˈ಴㋴㒧ᵘㄝ䛑ϢᏖഎⱘ㒧ᵘᆚߛⳌ݇DŽ↨བ䇈ˈ೼᳝䰤㓈ऩᳳ䌘ѻᏖഎЁˈ ऩϔӋḐ⊩߭އᅮ䱣ᴎᡬ⦄಴ᄤᰃ㒓ᗻⱘ˗ᏖഎᰃᅠᭈⱘˈᔧϨҙᔧ䱣ᴎᡬ⦄಴ᄤ ᰃଃϔⱘ˗ϔϾᅠᭈᏖഎЁ≵᳝༫߽ˈজᔧϨҙᔧ䱣ᴎᡬ⦄಴ᄤⱘ৘Ͼߚ䞣䛑ЎϹ Ḑℷ˗ᔧ䱣ᴎᡬ⦄಴ᄤϡଃϔᯊˈᄬ೼㗠Ϩҙᄬ೼ଃϔϔϾ㹿Ѹᯧⱘ䱣ᴎᡬ⦄಴ᄤDŽ 䱣ᴎᡬ⦄಴ᄤⱘ䞡㽕ᗻᰃϡ㿔㗠ஏⱘDŽ՟བˈ೼ᬜ⫼ߑ᭄῵ൟЁˈᅗϢ䖍㓬ᬜ⫼Ⳉ

᥹Ⳍ݇DŽ೼CCAPMЁᅗ੠⍜䌍ⱘ๲䭓⥛Ⳉ᥹Ⳍ݇DŽ೼ᶤ⾡ᛣНϞˈϡৠⱘ䌘ѻᅮ Ӌ῵ൟৃҹ㹿䅸Ўᰃ೼ⷨおϡৠⱘ䱣ᴎᡬ⦄಴ᄤDŽ

Hansen-Richard

ᬊⲞ⥛ߚ㾷 ᬊⲞ⥛ߚ㾷 ᬊⲞ⥛ߚ㾷 ᬊⲞ⥛ߚ㾷

Chamberlain੠Rothschild˄1983˅䆕ᯢˈ䳊 – CAPMৃҹ㹿ⳟ៤Ꮰᇨԃ⡍ぎ 䯈ⱘⳈ੠ˈԚ៥Ӏ䳔㽕ϔ⾡↨䕗⡍⅞ⱘणᮍᏂݙ⿃˄inner product˅DŽ೼䖭⾡Ḛᶊ ϟˈӏԩ 䌘 ѻ ⱘ 䱣 ᴎ ᬊ Ⲟ⥛ᰃᏠ ᇨ ԃ ⡍ ぎ 䯈Ё ⱘ ϔ Ͼ ৥䞣ˈ ৃ ҹ ⫼ ᡩ ᕅ

˄projection˅ᴹߚ㾷៤ᐌ᭄৥䞣䚼ߚˈᏖഎ䱣ᴎᬊⲞ⥛䚼ߚˈҹঞϔϾ⅟Ꮒ৥䞣

˄residual vector˅DŽ䖭ϝϾߚ䞣೼Ꮰᇨԃ⡍ぎ䯈ЁѦⳌൖⳈDŽ䖭⾡ᡞ _CAPM 䅸Ў

ᰃϔ⾡৥䞣ⱘൖⳈߚ㾷ⱘ㾖⚍೼䞥㵡ᄺЁᑊϡᰃӴ㒳ⱘ㾖⚍ˈϔ㠀ⱘᬭ⾥к䛑ᡞ

CAPM ᦣ䗄៤ᰃϔϾ㒓ᗻಲᔦˈ಴ℸϝϾߚ䞣ᕐℸᰃ䳊णᮍᏂDŽ䖭ϸ⾡ϡৠⱘ㾖

⚍䛑ᰃᕜࡽѢ _CAPMⱘ⧚㾷ⱘDŽ݊Ё㄀ϔ⾡㾖⚍䌟ќњ _CAPM޴ԩᛣНˈ಴ℸՓ ᕫᕜ໮ὖᗉবᕫⳈ㾖DŽ↨བ䌘ѻ㒘ড়ⱘ᳝ᬜ䖍⬠೼Ϟ䗄Ꮰᇨԃ⡍ぎ䯈ЁᰃϔᴵⳈ㒓DŽ

䱣ᴎব䞣ᵘ៤ⱘᏠᇨԃ⡍ぎ䯈ⱘ䗮ᐌݙ⿃ᅲ䰙ϞᑊϡᰃणᮍᏂݙ⿃ˈ 㗠ᰃЬ

⿃ݙ⿃˖_{( )} DŽՓ⫼䖭⾡ݙ⿃ᇐ㟈঺ϔ⾡ϡৠⱘ䱣ᴎᬊⲞ⥛ⱘߚ㾷ᮍᓣˈ 䖭ህᰃ Hansen-RichardᬊⲞ⥛ߚ㾷DŽ⊼ᛣ೼ _Hansen੠ _Richard˄₁₉₈₇˅Ё԰㗙Ӏ䖬

㗗㰥њᴵӊֵᙃ ˄ ˅DŽ೼ ᬊⲞ⥛ߚ㾷Ёˈ↣

Ͼ䌘ѻⱘ䱣ᴎᬊⲞ⥛㹿ߚ㾷៤ϝϾ䚼ߚDŽ㄀ϔϾ䚼ߚᰃϔϾᇍ᠔᳝䌘ѻ䛑Ⳍৠⱘ䱣 ᴎᬊⲞ⥛ˈᅗ੠䱣ᴎᡬ⦄಴ᄤ៤ℷ↨DŽ㄀ѠϾ䚼ߚⱘ෎৥䞣ϔ㠀পᐌ᭄৥䞣೼䍙乱 ᬊⲞ⥛ぎ䯈ϞⱘᡩᕅDŽ㄀ϝϾ䚼ߚᰃϔϾ⅟Ꮒ৥䞣DŽ䖭ϝϾ䚼ߚ೼ҹЬ⿃Ўݙ⿃ⱘ ぎ䯈ЁѦⳌൖⳈDŽHansen-RichardᬊⲞ⥛ߚ㾷೼㾷އᶤѯ䯂乬Ё↨_CAPMߚ㾷᳈ࡴ

ᮍ֓ˈ՟བ Hansen੠ RichardҹঞCochrane੠ Saa-Requejo˄2000˅DŽ䗮ᐌ೼Փ⫼

Hansen-Richard ᬊⲞ⥛ߚ㾷ᯊˈӮৠᯊՓ⫼ Hansen-Richard 䱣ᴎᡬ⦄಴ᄤߚ㾷DŽ

Hansen-Richard䱣ᴎᡬ⦄಴ᄤߚ㾷੠ Hansen-RichardᬊⲞ⥛ߚ㾷ᵕ݊㉏Ԑˈাϡ䖛

೼ߚ㾷䱣ᴎᡬ⦄಴ᄤЁˈ㄀ѠϾ䚼ߚⱘ෎ϔ㠀পᐌ᭄৥䞣೼䍙乱䱣ᴎᡬ⦄಴ᄤぎ䯈 ϞⱘᡩᕅDŽ

Hansen-Jaganathan

䖍⬠ 䖍⬠ 䖍⬠ 䖍⬠

ᇍϔϾᏖഎ㒧ᵘˈ㗗㰥ӏᛣϸϾϡৠⱘ䱣ᴎ䌘ѻᬊⲞ⥛_*+੠_*,ҹঞ᠔᳝ৃ㸠 ⱘ䱣ᴎᡬ⦄಴ᄤ_-ˈৃҹ䆕ᯢ

0./ 1

1 (3.1)

䖭ህᰃ㨫ৡⱘ Hansen-Jaganathan˄₁₉₉₁˅䖍⬠DŽЎњ᳈⏙Ἦഄ⧚㾷Ϟᓣˈ៥ Ӏৃҹ㗗㰥ϔϾᅠᭈⱘᏖഎˈ಴ℸᏖഎϞᄬ೼᮴亢䰽䌘ѻˈᑊϨҹঞ᠔᳝ৃ㸠ⱘ䱣 ᴎᡬ⦄಴ᄤ ᰃଃϔⱘDŽᎺᓣ಴ℸህᰃᏖഎⱘ Sharpe ಴ᄤˈгህᰃऩԡ亢䰽㛑ᕫ ࠄⱘ᳔໻ಲ᡹DŽHansen-Jaganathan 䖍⬠⫼䱣ᴎᡬ⦄಴ᄤ㒭ߎњ _Sharpe ಴ᄤDŽ೼᱂ 䘡ᚙމϟˈϡϔᅮᄬ೼᮴亢䰽䌘ѻˈ䱣ᴎᡬ⦄಴ᄤгϡଃϔDŽ⫼Hansen-Richard ᬊ Ⲟ⥛ߚ㾷ҹঞ䱣ᴎᡬ⦄಴ᄤߚ㾷ৃҹᕜᮍ֓ഄᕫࠄㄝᓣⱘϸ䖍ҔМᯊ׭পࠄᵕؐˈ 䖭䞠Ң⬹DŽ঺໪ˈHansen-Richard ᬊⲞ⥛ߚ㾷г䅽៥ӀৃҹⳈ㾖ഄ೼Ꮰᇨԃ⡍ぎ䯈

ЁԧӮHansen-Jaganathan 䖍⬠ⱘ޴ԩᛣНDŽ

Hansen-Jaganathan 䖍⬠ⱘϔϾ᳔Ⳉ᥹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ᴎᡬ⦄಴ᄤDŽ಴ℸ៥Ӏৃҹ䅵ㅫ Hansen-

Jaganathan 䖍⬠ˈᑊϨ੠ᏖഎⱘSharpe಴ᄤ䖯㸠↨䕗DŽབᵰЎњ㒭ߎড়⧚ⱘSharpe

಴ᄤˈ῵ൟЁⱘখ᭄ህϡヺড়ᳳᕙⱘℷᐌؐˈ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᠟↉ᰃẔ偠_Eulerᮍ⿟DŽ

བᵰϔϾ䌘ѻᇚᴹᕫᬊⲞᅠܼϡঞ঺ϔϾᡩ䌘㒘ড়ˈ䙷МᅗⱘӋḐᑨᔧԢѢ 䖭Ͼ㒘ড়ⱘӋ䫀DŽ䖭ህᰃ᮴༫߽䖍⬠˄no-arbitrage boundary˅DŽHansen-Jaganathan

䖍⬠ৃҹ䇈ᰃ݇Ѣ᮴༫߽䖍⬠ⱘϔϾ㒧䆎DŽԚ೼䗮ᐌᚙމϟˈ᮴༫߽䖍⬠㒣ᐌ໾ᆑˈ ҹ㟇Ѣϡ໾ᅲ⫼DŽCochrane ੠ Saa-Requejo˄2000˅㗗㰥ऩᳳˈ໮ᳳˈҹঞ䖲㓁ᯊ 䯈ⱘདѸᯧ˄_{good deal}˅䖍⬠DŽ೼ৠϔᳳߞ⠽Ёˈ_Bernardo੠ _Ledoit˄₂₀₀₀˅㗗㰥

ᕫ-༅↨⥛˄gain-loss ratio˅䖍⬠DŽ䖭ϸϾ䖍⬠⬅Ѣᓩ䖯њ݊ᅗ㑺ᴳᴵӊˈϔ㠀䛑

↨᮴༫߽䖍⬠㋻DŽ᳔䖥ˈⷨお㗙г㗗㰥њ৘⾡݊ᅗⱘ䴲᮴༫߽䖍⬠DŽ৘⾡䖍⬠ϔ㠀 ᓩܹϡৠⱘ㑺ᴳᴵӊˈ಴ℸᕜ䲒᱂䘡ഄ↨䕗৘⾡䖍⬠ⱘӬ㔎⚍DŽ

亢䰽ЁᗻᅮӋ 亢䰽ЁᗻᅮӋ 亢䰽ЁᗻᅮӋ˄ 亢䰽ЁᗻᅮӋ ˄ ˄ ˄

Risk-neutral Pricing

˅ ˅ҹঞ݊ᅗ⌟ᑺবᤶᮍ⊩ ˅ ˅ ҹঞ݊ᅗ⌟ᑺবᤶᮍ⊩ ҹঞ݊ᅗ⌟ᑺবᤶᮍ⊩ ҹঞ݊ᅗ⌟ᑺবᤶᮍ⊩

亢䰽ЁᗻᅮӋ⧚䆎ᑊϡᰃᄸゟഄথሩ䍋ᴹⱘDŽџᅲϞˈेՓᰃऩᳳⱘ _CAPM гৃҹ⫼亢䰽ЁᗻᅮӋ⧚䆎ᴹᦣ䗄DŽ⧚䆎ⱘᓎゟЁˈЏ㽕᭛⤂᳝ _Cox ੠ _Ross

˄1976˅, Harrison੠Kreps˄1979˅, ҹঞHarrison੠Pliska˄1981˅DŽ঺໪ˈCoxˈ

Ross ੠ _Rubinstein˄₁₉₇₉˅㗗㰥њѠঝᷥ˄binomial tree˅ᳳᴗ῵ൟDŽ䖭Ͼㅔऩⱘ

῵ൟᇍ⧚㾷亢䰽ЁᗻᅮӋ⧚䆎ᵕ᳝݊⫼DŽ㨫ৡⱘ Black-Scholes˄_Black ੠ _Schole,

1973˅ᳳᴗ῵ൟгৃҹ⫼亢䰽ЁᗻᅮӋ⧚䆎ᴹᦣ䗄DŽ

೼Փ⫼䱣ᴎᡬ⦄಴ᄤⱘ῵ൟЁˈ䌘ѻⱘӋḐᰃ⬅ᇚᴹⱘᬊⲞ੠䱣ᴎᡬ⦄಴ᄤ ⱘݙ⿃㒭ߎⱘDŽ䖭Ͼݙ⿃ᰃ೼⠽⧚⌟ᑺˈгህᰃᅲ䰙⫳⌏Ёⱘ⌟ᑺПϟⱘᳳᳯDŽߚ ϸℹⳟˈ៥Ӏܜ೼⠽⧚⌟ᑺϟ䅵ㅫ᳾ᴹᬊⲞⱘᳳᳯؐˈ ✊ৢݡ⫼亢䰽䇗ᭈ䖛ⱘᡬ ᠷ⥛ᴹ䅵ㅫ⦄೼ⱘӋḐDŽ῵ൟⱘೄ䲒ᐌᐌ೼䅵ㅫ亢䰽䇗ᭈ䖛ⱘᡬᠷ⥛ˈ ಴Ў䖭Ͼ ᡬᠷ⥛ᇍϡৠⱘ䌘ѻᰃϡৠⱘDŽ೼亢䰽ЁᗻᅮӋЁˈ៥Ӏ⫼᮴亢䰽ᡬᠷ⥛ᴹᡬㅫӏ ԩ䌘ѻⱘᳳᳯؐDŽ಴Ў䖭Ͼॳ಴ˈӏԩ䌘ѻ䛑㹿㾚Ўϡᏺӏԩ亢䰽ˈ಴ℸ䖭⾡ᮍ⊩

㹿⿄Ў亢䰽ЁᗻᅮӋDŽҷӋᰃ៥Ӏϡ㛑⫼⠽⧚⌟ᑺᴹ䅵ㅫᳳᳯؐˈ㗠ᰃᕫՓ⫼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⌟ᑺᐌᐌᰃଃϔⱘˈᑊϨϡ䱣↣Ͼ䌘ѻ㗠বDŽ䖭ህՓᕫ亢䰽Ё ᗻᅮӋ݋᳝ᕜ໻ⱘӬ䍞ᗻDŽᇍӏԩϔϾ䌘ѻˈ៥Ӏা䳔䅵ㅫᅗ೼亢䰽Ёᗻ⌟ᑺϟⱘ

ᳳᳯؐˈ✊ৢ؛㺙䖭Ͼ䌘ѻϡᏺ亢䰽ˈ㗠Փ⫼᮴亢䰽߽⥛䖯㸠ᡬᠷDŽҢᶤ⾡⿟ᑺϞ 䇈ˈ亢䰽ЁᗻᅮӋህᰃ䫭䫭ᕫᇍˈ៥ӀՓ⫼_“䫭䇃ⱘ_”⌟ᑺˈ✊ৢݡՓ⫼_“䫭䇃ⱘ_”ᡬ ᠷ⥛DŽ䖭ϸϾ_“䫭䇃_”ⱘৠᯊՓ⫼㒭ߎℷ⹂ⱘ䌘ѻӋḐDŽ⫼ᴃ䇁ᴹ䇈ˈ᠔᳝䌘ѻⱘӋ Ḑˈབᵰ⫼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 ᗕᑺDŽ䖭ϸϾ⌟ᑺⱘ Radon-Nikodym ଚᰃ⬅ᡩ䌘㗙ⱘ䖍㓬ᬜ⫼ߑ᭄އᅮⱘDŽབᵰ ᓎ῵㗙ϡ݇ᖗ䖍㓬ᬜ⫼ߑ᭄ˈ ҪৃҹⳈ᥹ݭϟ亢䰽Ёᗻ⌟ᑺˈ✊ৢ೼䖭Ͼ⌟ᑺϟ 䅵ㅫ䌘ѻⱘӋḐDŽ䖭⾡ᮍ⊩㹿ᑓ⊯Փ⫼ˈᇸ݊ᰃ೼䞥㵡㸡⫳⠽ᅮӋᮍ䴶DŽ঺໪ˈབ ᵰⷨお㗙᳝෎ᴀ䌘ѻҹঞᓎゟ೼ᅗПϞⱘ㸡⫳⠽ⱘӋḐˈॳ߭ϞҪৃҹᡞᡩ䌘㗙ⱘ 䖍㓬ᬜ⫼ߑ᭄ಲㅫߎᴹDŽ↨བˈҪৃҹⷨお䏇䎗ᰃϡᰃ೼ᅮӋЁ䍋԰⫼DŽখ㾕 _Pan

˄₂₀₀₂˅DŽ

䳔㽕ᔎ䇗ⱘᰃˈ⌟ᑺবᤶ˄measure change˅ᰃϔ⾡ᕜ᱂䘡ⱘᡔᎻDŽḍ᥂䯂乬 ⱘ䳔㽕ˈ᳝ᯊ׭Փ⫼亢䰽Ёᗻ⌟ᑺП໪ⱘ⌟ᑺᇍ䅵ㅫӮ᳈ࡴᮍ֓DŽ՟བ೼㗗㰥䱣ᴎ

߽⥛㒧ᵘ῵ൟᯊˈ᠔䇧ⱘ䖰ᳳ⌟ᑺ˄forward measure˅㒣ᐌӮ↨䕗ᮍ֓DŽৃҹ䇈᠔

᳝ⱘ⌟ᑺবᤶ෎ᴀϞ䛑ᰃҢᶤ⾡䅵Ӌऩԡবᤶ˄change of numeraire˅㗠ᴹDŽབᵰ Ꮦഎ⒵䎇ᶤѯᖙ㽕ᴵӊˈৃҹ䆕ᯢᇍӏԩ䅵Ӌऩԡˈ䛑ᄬ೼䖭МϔϾ⌟ᑺˈ೼䖭Ͼ

Rochetˈ₁₉₉₅˅DŽ䖭Ͼ㒧䆎Փᕫ⫼⌟ᑺⱘবᤶᴹᅮӋ䴲ᐌഄᴎẄ࣪ˈ಴ℸᑨ⫼䴲ᐌ ᮍ֓DŽ݋ԧഄ䇈ˈⷨお㗙佪ܜ⹂ᅮ䅵Ӌऩԡˈ ✊ৢߚᵤᅗ᠔ᓩ䍋ⱘ⌟ᑺবᤶˈ᳔

ৢ߽⫼䵙䖛⿟ᴹᅮӋDŽೄ䲒Џ㽕೼ѢᇏᡒߎϔϾᮍ֓ⱘ⌟ᑺDŽ೼ Black-Schole⧚䆎 Ёˈ亢䰽Ёᗻ⌟ᑺৃҹⳟ៤ᰃՓ⫼њҹ᮴亢䰽؎ࠌЎ䅵Ӌऩԡ㗠ᓩ䍋ⱘ⌟ᑺবᤶDŽ

߽⥛ᳳᴗᅮӋЁⱘ䖰ᳳ⌟ᑺ߭ᰃՓ⫼њҹ䖰ᳳ؎ࠌЎ䅵Ӌऩԡ㗠ᓩ䍋ⱘ⌟ᑺবᤶ

˄খ㾕Vasicek, 1977˅DŽ঺໪ˈ೼Ѹᤶᳳᴗ˄exchange option˅ⱘ䅵ㅫЁˈ㒣ᐌӮ

⫼ᶤϾ㙵⼼ⱘӋḐᴹ԰Ў䅵Ӌऩԡ˄খ㾕_{Li, 2008}˅DŽ

෎Ѣ⫳ѻⱘᅮӋ⧚䆎ঞ ෎Ѣ⫳ѻⱘᅮӋ⧚䆎ঞ ෎Ѣ⫳ѻⱘᅮӋ⧚䆎ঞ㓐ড়ᑇ㸵 ෎Ѣ⫳ѻⱘᅮӋ⧚䆎ঞ 㓐ড়ᑇ㸵 㓐ড়ᑇ㸵 㓐ড়ᑇ㸵˄ ˄ ˄ ˄

General Equilibrium

˅ ˅ ˅ ˅⧚䆎 ⧚䆎 ⧚䆎 ⧚䆎

ᮽᳳⱘ㒣݌⧚䆎ϔ㠀䛑ᰃሔ䚼ᑇ㸵˄partial equilibrium˅⧚䆎DŽ䖭ᰃ಴Ўϔ㠀ᅗӀ 䛑؛䆒໪⫳ⱘ˄_exogenous˅䌘ѻᬊⲞ⥛䱣ᴎ䖛⿟ˈ✊ৢ೼㒭ᅮⱘᡩ䌘ᴎӮⱘᚙމ ϟএ∖㾷᳔Ӭ㒘ড়ҹঞ⍜䌍䗨ᕘDŽԚᅲ䰙Ϟˈᡩ䌘㗙ᴀ䑿ⱘއㄪ㒣ᐌӮড䖛ᴹᕅડ 䌘ѻᬊⲞ⥛ⱘࡼᗕ⡍ᗻDŽ಴ℸˈϔϾᅠᭈⱘ῵ൟ䳔㽕ৠᯊ㗗㰥ᡩ䌘ᴎӮ੠ᡩ䌘އㄪ ⳌѦП䯈ⱘᕅડDŽ䖭⾡῵ൟϔ㠀⿄Ў㓐ড়ᑇ㸵῵ൟˈ៪⿄ϔ㠀ഛ㸵῵ൟDŽ៥ϾҎ㾝 ᕫࠡϔ⾡䆥⊩䕗Ў䌈ߛDŽሔ䚼ᑇ㸵⧚䆎Ёˈ䌘ѻ㒣ᐌ㹿↨ஏ៤ϔỉᵰᷥˈᵰᷥⱘᬊ ៤ᰃᅠܼ䱣ᴎ ⱘˈᑊ ϡ䱣ᡩ 䌘㗙ⱘ 㸠Ў㗠বDŽ㓐ড়ᑇ㸵῵ൟϔ㠀Ӯᓩܹ⫳ѻ

˄_production˅ˈ↨བ䇈೼ᵰᅲӋḐ催ᯖᯊˈ⍜䌍㗙ৃҹ䗮䖛䰸㤝ˈᮑ㙹ˈ႕᥹ㄝ

ࡲ⊩ᴹᕅડᇚᴹⱘᬊ៤DŽ䖭Ͼব࣪њⱘᬊ៤ⱘߚᏗজӮড䖛ᴹᕅડ䌘ѻⱘӋḐˈ㗠 䖭জӮ䖯㗠ᕅડ⍜䌍㗙ⱘ㸠ЎˈㄝㄝDŽ

೼ܿकᑈҷЁᳳϔϾ↨䕗䞡㽕ⱘ⧚䆎さ⸈ᰃCox, Ingersoll੠_Ross˄1985a, 1985b˅

೼ϸ㆛ྤྍ䆎᭛ЁᦤߎⱘϔϾ㓐ড়ᑇ㸵⧚䆎DŽ㄀ϔ㆛䆎᭛ⴔ䞡ҟ㒡ϔ㠀⧚䆎ˈ㄀Ѡ

㆛䆎᭛߭䅼䆎ϔϾ݋ԧⱘ՟ᄤDŽ䖭Ͼ⧚䆎гৃҹⳟ៤ᰃϔϾ _ICAPM ⧚䆎DŽᅗⱘ᳔

໻⡍⚍೼Ѣ᮴亢䰽ᬊⲞ⥛ᰃݙ䚼އᅮⱘDŽCox, Ingersoll ੠ _Ross ؛䆒া᳝ϔ⾡ৃҹ ৠᯊ⫼ᴹ⍜䌍੠ᡩ䌘ⱘଚકDŽབᵰ䗝ᢽᡩ䌘ˈ᳝߭໮⾡ᏺ亢䰽ⱘᡔᴃৃկ䗝ᢽDŽᡩ 䌘㗙ᕫއᅮ⍜䌍໮ᇥ↨՟ⱘଚકˈҹঞབᵰᡩ䌘㡖ⳕϟᴹⱘଚકDŽ঺໪ˈᡩ䌘㗙г

ৃҹ׳䪅ˈԚҪᖙ乏ᬃҬϔϾ᮴亢䰽߽⥛DŽCox, Ingersoll ੠ _Ross ⊼ᛣࠄ೼Ꮦഎᑇ 㸵ⱘᚙމϟˈ׳ߎ੠׳ܹⱘ䞣ᖙ乏Ⳍㄝˈгህᰃ䇈ˈ᮴亢䰽؎ࠌⱘޔկ㒭䞣ᰃ䳊DŽ ᮴亢䰽߽⥛಴ℸህᰃϔϾᕅᄤӋḐ˄shadow price˅DŽ䗮䖛䖭Ͼ㑺ᴳᴵӊˈ_Cox,

Ingersoll ੠ _Ross ᥼ᇐߎњ᮴亢䰽߽⥛ⱘ㸼䖒ᓣDŽ䗮䖛ৠḋⱘ᥼⧚ˈ䖭Ͼ῵ൟгৃ

ҹ⫼ᴹ㒭ӏԩϔϾޔկ㒭䞣Ў䳊ⱘ䌘ѻᅮӋˈ↨བ䇈䭓ᳳ؎ࠌˈᳳᴗˈㄝㄝDŽᅗӀ ⱘӋḐ⒵䎇ϔϾ㉏Ԑ Black-Scholes ⧚䆎ⱘأᖂߚᮍ⿟DŽ೼㄀Ѡ㆛䆎᭛Ёˈ_Cox,

Ingersoll ੠ _Ross 㗗㰥њϔϾ݋ԧⱘ῵ൟDŽ೼䖭Ͼ῵ൟЁˈ᮴亢䰽߽⥛ⱘ㾷⒵䎇ϔ

Ͼ Itoᠽᬷ䖛⿟ˈᅗⱘⓖ⿏ߑ᭄˄drift function˅੠ Vasicek䖛⿟㉏ԐˈԚᅗⱘᠽᬷ

ߑ᭄˄diffusion function˅ϡᰃᐌ᭄ˈ㗠ᰃᑇᮍḍᔶᓣˈ᭄ᄺϞг⿄Ў_Feller䖛⿟DŽ

݋ԧᔶᓣབϟ˖

2 3 4 25 " 16 27 (3.2)

݊Ё₃ˈ₄ˈ₁䛑ᰃᐌ᭄ˈ₇ᰃϔϾᷛޚᏗᳫ䖤ࡼ˄Brownian motion˅DŽؐᕫϔᦤⱘ ᰃˈሑㅵ㄀Ѡ㆛䆎᭛াᰃ䅼䆎Ϟ䗄݋ԧⱘ՟ᄤˈԚџᅲϞ䖭Ͼ݋ԧⱘ՟ᄤᑨ⫼ᵕ݊

ᑓ⊯ˈҹ㟇ѢҎӀ㒣ᐌ⫼ CIR ῵ൟᴹ⿄੐䖭Ͼ݋ԧⱘ῵ൟDŽ՟བˈ೼೎ᅮᬊⲞ㉏ ѻકᅮӋˈֵ⫼ѻકᅮӋˈᳳᴗᅮӋㄝᮍ䴶_CIR῵ൟ䛑ᰃᵕ݊ᐌ⫼ⱘ῵ൟDŽ_CIR῵ ൟফ⃶䖢ⱘϔϾ䞡㽕ⱘॳ಴ᰃሑㅵᅗ↨ Vasicek ῵ൟ᳈ᅲ䰙ˈԚৠᯊ䖭Ͼ῵ൟ੠

Vasicek ῵ൟϔḋ᳝㾷ᵤⱘ䕀⿏ᆚᑺˈ؎ࠌӋḐˈ؎ࠌᳳᴗӋḐˈㄝㄝDŽ಴ℸ❳ᙝ

䖭Ͼ_CIR῵ൟᰃᕜ᳝⫼ⱘDŽ

෎Ѣ⫳ѻⱘᅮӋ⧚䆎ঞ㓐ড়ᑇ㸵⧚䆎⦄೼ҡᮻᰃϔϾ⌏䎗ⱘⷨおᮍ৥ˈᇸ݊ᰃ݇Ѣ ᅗӀⱘᅲ䆕㸼⦄DŽ

݊ᅗⱘ亢䰽أདߑ ݊ᅗⱘ亢䰽أདߑ ݊ᅗⱘ亢䰽أདߑ ݊ᅗⱘ亢䰽أདߑ

೼ᮽᳳⱘ䌘ѻᅮӋ⧚䆎Ёˈϔ㠀䛑Փ⫼㒣݌ⱘᯊ䯈Ϟৃߚᢚ˄time-separable˅ ⱘ CARA 亢䰽أདߑ᭄DŽMerton ⱘᮽᳳ⧚䆎෎ᴀϞ䛑Փ⫼䖭Ͼߑ᭄DŽᅗⱘད໘ᰃ

⬅Ѣᔶᓣㅔऩˈ㒣ᐌৃҹᕫࠄ䯂乬ⱘ㾷ᵤ㾷DŽԚᰃᅗг᳝ϔϾ↨䕗㟈ੑⱘᔅ⚍ˈ䙷 ህᰃৠϔϾⳌᇍ亢䰽ॠᙊ㋏᭄އᅮњϸϾϡৠⱘϰ㽓DŽϔϾᰃ೼ৠϔϾᯊᳳݙᇍ㒣

⌢ⱘϡৠ⢊ᗕП䯈ⱘأདˈ঺ϔϾᰃ೼ϸϾϡৠᯊᳳⱘ⍜䌍П䯈ⱘأདDŽ䖭⾡㞾⬅

ᑺⱘ㔎УՓᕫ _CARA 亢䰽أདߑ᭄ϡ㛑ᕜདഄ㾷䞞ᕜ໮ᅲ䆕Ϟⱘ㒧ᵰˈ಴ℸѻ⫳

њ㙵ᴗ⑶ӋП䇰 ˄Mehra੠Prescottˈ1985˅, ᮴亢䰽߽⥛П䇰 ˄Weil, 1989˅ˈ㙵

⼼ӋḐ⊶ࡼП䇰ㄝㄝ䌘ѻᅮӋ⧚䆎Ё䆌໮ҸҎ䌍㾷ⱘ㒧ᵰDŽ䌘ѻᅮӋ⧚䆎䖥Ѡϝक ᑈⱘথሩৃҹ䇈ᰃᅠܼ⬅䖭ѯ Ḝˈᇸ݊ᰃ㙵ᴗ⑶ӋП䇰᥼ࡼⱘDŽ೼ܿकᑈҷ߱ᳳˈ

ⷨお⬠ⱘ᱂䘡㾖⚍ᰃ䌘ѻᅮӋ⧚䆎Ꮖ㒣ᅠܼ៤ൟˈ᠔᳝ⱘ䯂乬䛑ৃҹॳ߭Ϟ⫼⦄᳝

Ḛᶊ㾷䞞੠ⷨおˈ಴ℸ _Mehra੠ _Prescott㢅њᭈᭈ݁ᑈⱘᯊ䯈ᠡথ㸼ҪӀⱘ᭛ゴDŽ

↨䕗᳝ᛣᗱⱘᰃ _Mehra੠ _Prescott᭛᳿ᣛߎњ৘⾡ৃ㛑ⱘ㾷䞞㙵ᴗ⑶ӋП䇰ⱘᮍ⊩ˈ 䖭ѯৢᴹ䛑㹿䆺㒚ⷨおᑊথሩ䍋ᴹDŽ㙵ᴗ⑶ӋП䇰䭓ᳳᰃ䌘ѻᅮӋ⧚䆎ⱘЁᖗ䇒乬ˈ Ԛ䖭䞠Ң⬹DŽ

೼৘⾡䆩೒㾷䞞㙵ᴗ⑶ӋП䇰ⱘᮍ⊩Ёˈ᳝ϔ⾡ᮍ⊩ᰃߛᮁ _CARA 亢䰽أད ߑ᭄Ёϡৠ⢊ᗕП䯈ⱘأད੠ϡৠᯊᳳⱘ⍜䌍П䯈ⱘأདⱘ㘨㋏DŽⷨお㗙ᦤߎњ໮

⾡᥼ᑓ_CARA亢䰽أདߑ᭄ⱘࡲ⊩DŽ䖭䞠ㅔऩҟ㒡݊Ё↨䕗᳝ᕅડⱘϝ⾡ᮍᓣDŽ

㄀ϔ⾡ᰃ᠔䇧ⱘݙ೼дᛃ˄internal habit˅῵ൟˈҷ㸼᭛⤂ᰃ Constantinides

˄1990˅DŽ೼䖭⾡῵ൟЁˈᡩ䌘㗙ⱘ亢䰽أདߑ᭄ϡҙϢᔧࠡⱘ⍜䌍᳝݇ˈ㗠Ϩг Ϣ䖛এ᠔ᅲ⦄ⱘ⍜䌍䏃ᕘ᳝݇DŽ_Ferson ੠ Constantinides˄₁₉₉₁˅থ⦄ݙ೼дᛃ῵

ൟⱘᅲ䆕㸼⦄ᑊϡᰃ⡍߿ߎ㡆DŽ

㄀Ѡ⾡᥼ᑓᰃ᠔䇧ⱘ໪೼дᛃ˄external habit˅῵ൟˈҷ㸼᭛⤂ᰃ Campbell

੠ _Cochrane˄1999, 2000˅DŽ೼䖭㉏῵ൟЁˈᡩ䌘㗙ⱘ亢䰽أདߑ᭄ϢϔϾ໪೼ⱘ

дᛃ∈ᑇⳌ݇ˈᔶ䈵ഄ䇈ህᰃᡩ䌘㗙ϡҙ݇ᖗ㞾䑿ⱘ⍜䌍ˈг݇ᖗ䚏ሙⱘ⍜䌍ˈ 䗮֫ഄ⿄ЎĀ䍊Ϟ⨐ᘽᮃᆊ˄catching up with the Joneses˅āDŽ䖭Ͼ῵ൟ㹿ᑓ⊯ഄ

㄀ϝ⾡ _CARAⱘ᥼ᑓᰃ䗦ᔦⱘ˄_recursive˅亢䰽أདߑ᭄ˈҷ㸼᭛⤂᳝ _Kreps

੠ _Porteus˄₁₉₇₈˅ˈ_Weil˄₁₉₈₉ˈ₁₉₉₀˅ˈ_Epstein ੠ _Zin˄₁₉₈₉ˈ₁₉₉₁˅ˈҹঞ

Duffie ੠ Epstein˄1992˅DŽ՟བ೼ Epstein ੠ Zin˄1991˅Ёˈᬜ⫼ߑ᭄㹿؛䆒៤˖

8₅ 9 :₅ ;<8₅₌ > (3.3)

݊Ё_:5ᰃᔧࠡⱘ⍜䌍ˈ_{;<85= >}ᰃৢϔᯊᳳᬜ⫼ߑ᭄₈₅₌ ⱘĀ_? ᴵӊᳳᳯā˖

;<8₅₌ > 8₅₌^{? @?} (3.4)

9ᰃϔϾ㌃⿃ᄤ˄_aggregator˅ˈᔶᓣབϟ˖

9 :₅ < :^A" ^A> ^@A (3.5)

བᵰ_{? A}ˈ៥Ӏህಲࠄњ䗮ᐌⱘᬜ⫼ߑ᭄DŽϔ㠀ᚙމϟ䖭ϸϾখ᭄ᰃ⣀ゟⱘDŽ䖭

⾡᥼ᑓֱ⬭њ CARA ⱘད໘ˈ಴ℸ῵ൟ㒣ᐌҡᮻ᳝㾷ᵤ㾷DŽԚᅗৠᯊⳈ᥹ߛᮁњ

CARAЁϡৠ⢊ᗕП䯈ⱘأད੠ϡৠᯊᳳⱘ⍜䌍П䯈ⱘأདⱘ㘨㋏ˈ䖭ϸ⾡ϡৠⱘ أད⦄೼㹿ϸϾ⣀ゟⱘখ᭄ᴹᦣ䗄DŽ೼໻䞣ⱘ᭛⤂ЁˈՓ⫼䗦ᔦ亢䰽أདߑ᭄Ꮖ㒣

޴Тᰃ㔎ⳕⱘ䗝ᢽњDŽPennacchi˄2008˅੠ Skiadas˄2009˅ϸᴀк䛑䆺㒚ҟ㒡њ 䗦ᔦ亢䰽أདߑ᭄ˈ݊Ёৢ㗙᳈ࡴ⧚䆎࣪ϔѯDŽ

䖭ϝ⾡亢䰽أདߑ᭄ᔶᓣⱘ؛䆒ᰃϡৠⱘˈᅗӀᇍ䌘ѻᅮӋⱘ㒧䆎г䛑ϡৠDŽ 䖭䞠䰤Ѣ㆛ᐙˈϡݡخ᳈݋ԧⱘҟ㒡ˈ᳝݈䍷ⱘ䇏㗙ৃҹখ㗗Ϟ䗄᭛⤂DŽ

ː ː ː

ːˊ ˊ ˊ ˊ ᳔䖥 ᳔䖥 ᳔䖥 ᳔䖥कᑈ कᑈ कᑈⱘ कᑈ ⱘ ⱘথሩ ⱘ থሩ থሩ থሩ

㞾ܿकᑈҷҹᴹˈ䌘ѻᅮӋ䖭Ͼ乚ඳ෎ᴀϞᰃ⊓ⴔϞ䗄㒣݌⧚䆎ⱘ໻Ḛᶊ㗠 ϡᮁথሩⱘDŽ⬅Ѣ䖭Ͼॳ಴ˈᕜ໮ⷨお㗙䅸Ў䖭↉ᯊ䯈Ё≵᳝⡍߿໻ⱘ⧚䆎さ⸈DŽ

Duffie ˄₂₀₀₁˅೼ҪкЁⱘᑣ㿔䞠䖭ḋݭ䘧˖ĀᇍϔϾ೼ܿकᑈҷЁᳳ↩Ϯߎᴹⱘ

Ҏᴹ䇈ˈϗकᑈҷᰃ䌘ѻᅮӋ⧚䆎ⱘ咘䞥ᯊҷ…. Ң1979ᑈҹৢˈ䰸њϾ߿ⱘ⡍՟ˈ

෎ᴀϞህᰃᢪᢪഄᵓ㗠ᏆDŽā೼ Campbell ˄2000˅ᑈⱘ㓐䗄ЁˈCampbell 㸼⼎ϡ ᅠܼ䌲ৠDŽҪ䅸Ў៥Ӏᇍ䖭ϔ乚ඳⱘ⧚㾷䖬䖰᳾䖒ࠄᅠ୘ˈ㗠Ϩ᳝ᕜ໮䞡㽕੠᳝䍷 ⱘ䇒乬䖬᳝ᕙ㾷އDŽ

⬅Ѣ _Campbell˄₂₀₀₀˅䖭㆛㓐䗄䆺㒚ҟ㒡њҢ ₁₉₇₉ ᑈࠄ ₁₉₉₉ ᑈⱘⷨお៤ᵰˈ

៥೼ϟ䴶ⱘҟ㒡Џ㽕䲚Ё೼ग⽻ᑈПৢⱘ䖭कᑈDŽ៥෎ᴀϞ↨䕗䌲ৠ _Campbell ⱘ ᛣ㾕DŽৃҹ䇈ˈ䖛এकᑈᰃϔϾ៤ᵰ䴲ᐌЄ⸩ⱘकᑈDŽԚᰃ៥гৠᛣ Duffie˄1992˅

݇Ѣ໻ḚᶊᏆ㒣෎ᴀ៤ൟⱘ㾖⚍DŽ䖭ህᛣੇⴔ೼䖛এकᑈⱘ⧚䆎থሩЁˈⷨお㗙㒣 ᐌ䲚Ё⊼ᛣ࡯೼ϔѯ↨䕗݋ԧⱘᮄ䇒乬Ϟˈ㗠Ϩ䖭ѯ䇒乬㒣ᐌᰃ⬅᭄᥂᥼ࡼ䍋ᴹⱘDŽ

⬅Ѣ䕗䲒ᡞ᠔᳝ⱘ䇒乬ϔϔ䆺㒚ҟ㒡ˈ᥹ϟᴹ៥䗝ᢽϔѯ៥ϾҎ䅸Ў↨䕗䞡㽕៪᳝

䍷ⱘ䇒乬ᴹࡴҹ䅼䆎DŽ䖭ѯ䇒乬ᑊϡᰃᄸゟⱘˈ㗠ᰃ᳝ᕜ⏅ⱘݙ೼㘨㋏DŽ⬅Ѣ᭛⤂

᭄䞣ᵕ໻ˈ៥ϔ㠀াҟ㒡ϔѯ᳔䖥ⱘ᭛ゴDŽᇍ䖭ѯ䇒乬ᛳ݈䍷㗠Ꮰᳯ䖥ϔℹњ㾷ⱘ 䇏㗙ৃҹᶹᡒҹϟ㹿䅼䆎᭛⤂ⱘ᭛᳿ⱘ㋶ᓩDŽ

дᛃ῵ൟ дᛃ῵ൟ дᛃ῵ൟ дᛃ῵ൟ

дᛃ῵ൟ೼㄀ϝ㡖Ё⿡᳝ভ䗄DŽݙ೼дᛃ੠໪೼дᛃ῵ൟ৘᳝৘ⱘ⡍⚍ˈⳂ

ࠡ䖬ϡ㛑⹂ᅮાϾ᳈Ӭˈ Ԛৃ㛑ৃҹ䇈໪೼дᛃ῵ൟᑨ⫼ᕫ᳈ᑓ⊯ѯDŽ೼ݙ೼д ᛃ῵ൟЁˈ䍙乱⍜䌍㹿ᅮН៤ᅲ䰙⍜䌍੠ϔϾݙ೼дᛃ∈ᑇⱘᏂˈᬜ⫼ߑ᭄㹿ׂᬍ ៤Ў䍙乱⍜䌍ⱘߑ᭄DŽ䖭Ͼׂᬍᇐ㟈 Hansen-Jaganthn 䖍⬠੠䍙乱⍜䌍೼ᅲ䰙⍜䌍 Ёⱘ↨՟䋳Ⳍ݇ˈҢ㗠䆩೒ᴹ㾷䞞ᅲ䰙Ёⱘ䖛໻ⱘ㙵ᴗ⑶ӋDŽ໪೼дᛃⱘ㒧䆎੠ݙ

೼дᛃ῵ൟ㉏ԐˈԚ䍙乱⍜䌍೼䖭䞠ᰃᅲ䰙⍜䌍੠ϔϾ໪೼дᛃ∈ᑇⱘᏂDŽ݇Ѣݙ

೼дᛃ੠໪೼дᛃⱘ䕗ᮄⱘⷨお᳝ _Otrokˈ_Ravikumar੠ _Whiteman˄₂₀₀₂˅ˈҹঞ

Grishchenko˄₂₀₁₀˅DŽ

᳔෎ᴀⱘдᛃ῵ൟ㒣ᐌ㹿⫼ᴹᓎゟ᳈໡ᴖⱘ῵ൟˈ՟བ MenzlyˈSantos ੠

Veronesi ˄₂₀₀₄˅⫼ᅗᴹᓎゟњϔϾ᳝໮Ͼ䌘ѻⱘ㓐ড়ᑇ㸵˄general equilibrium˅

῵ൟDŽ೼䆹῵ൟЁˈᡩ䌘㗙ⱘ亢䰽أད੠㑶߽ⱘ乘ᳳ๲䭓⥛䛑ᰃ䱣ᯊ䯈㗠ব࣪ⱘDŽ ব࣪ⱘ亢䰽أདᇐ㟈㑶߽ಲ᡹⥛੠䌘ѻⱘ乘ᳳᬊⲞ⥛ℷⳌ݇䖭Ͼᷛޚ㒧ᵰˈԚᰃব

࣪ⱘ㑶߽乘ᳳ๲䭓⥛ैᇐ㟈䖭Ѡ㗙䋳Ⳍ݇DŽ⬅ѢϸϾᬜᑨѦⳌᢉ⍜ˈ⫼㑶߽ಲ᡹⥛

ᴹ乘⌟乘ᳳᬊⲞ⥛ⱘ㛑࡯㹿ޣᔅњˈ䖭੠ᅲ䰙᭄᥂ⳌヺDŽ঺໪ˈ݊ᅗ⍝ঞдᛃ῵ൟ ⱘ᳔ᮄ᭛⤂䖬᳝_Lynch੠_Randall˄₂₀₀₉˅ҹঞ_Bansalˈ_Kiku੠_Yaron˄₂₀₀₉˅DŽ

亢䰽ⱘᯊ䯈⡍ᗻ 亢䰽ⱘᯊ䯈⡍ᗻ 亢䰽ⱘᯊ䯈⡍ᗻ˄ 亢䰽ⱘᯊ䯈⡍ᗻ ˄ ˄ ˄

Temporal Pricing of Risk

˅ ˅ ˅ ˅῵ൟ ῵ൟ ῵ൟ ῵ൟ

೼ϔϾᅲ䰙῵ൟЁˈ䱣ᴎᡬ⦄಴ᄤᖙ乏㛑໳ℷ⹂ഄᇍ໮⾡䌘ѻৠᯊ䖯㸠ᅮӋˈ

ࣙᣀऩᳳ᮴亢䰽߽⥛ˈ䭓ᳳ᮴亢䰽߽⥛ˈҹঞ৘⾡亢䰽߽⥛DŽ৘⾡೼ᅲ䰙ᏖഎϞ㾖 ᆳࠄⱘ᭄᥂಴ ℸᇍ 䱣 ᴎᡬ⦄಴ ᄤⱘ㒧ᵘᦤ ߎ њᕜϹḐⱘ 㽕∖DŽ՟བ _Hansen-

Jaganathan 䖍⬠ৃҹⳟ៤ᰃ䖭ѯ㽕∖ⱘ㒧ᵰDŽ೼ᅲ䰙㾖⌟ⱘ᭄᥂ЁˈSharpe ↨⥛↨

䕗催ˈ಴ℸ៥Ӏ䳔㽕䱣ᴎᡬ⦄಴ᄤবࡼᐙᑺ↨䕗໻DŽ೼ϔ㠀ⱘⷨおЁˈᇸ݊ᰃᅲ䆕 ᗻⷨおˈ⫮㟇ᰃ݇Ѣ䭓ᳳᗻ䌘ѻⱘⷨおЁˈⷨお㗙㒣ᐌাⴔ㨫ѢऩᳳᬊⲞ⥛ˈ಴ℸ ҪӀাಲㄨ೼ⷁᳳݙᬊⲞ⥛੠亢䰽П䯈᳝ҔМ݇㋏䖭МϔϾ䯂乬DŽᰒ✊ˈ೼䭓ᳳݙ ᬊⲞ⥛੠亢䰽П䯈᳝ҔМ݇㋏гᑨᔧᰃϔϾᕜ䞡㽕ⱘ䯂乬DŽ

Ўњ㛑໳ৠᯊԄӋϡৠⱘ䌘ѻˈ_Alvarez ੠ _Jermann˄₂₀₀₅˅ᡞ䱣ᴎᡬ⦄಴ᄤ ߚ㾷៤ϸϾߚ䞣ⱘЬ⿃DŽ㄀ϔϾߚ䞣ᰃϔϾ∌Йᗻߚ䞣ˈᰃϔϾ䵙DŽ㄀ѠϾߚ䞣ᰃ ϔϾⷁ᱖ᗻߚ䞣DŽϡৠߚ䞣೼ԄӋϡৠ䌘ѻᯊ䍋ࠄϡৠⱘ԰⫼ˈ՟བ∌Йᗻߚ䞣ᇍ Ԅ Ӌ ㉏Ԑ㙵 ⼼ ㄝ䭓ᳳ ᗻ 䌘 ѻ Ϟᕜ䞡 㽕 DŽՓ⫼ 䖭 Ͼ ߚ㾷 П ৢˈ ϔ Ͼ ↨ _Hansen-

Jaganathan 䖍⬠᳈㒚㟈ⱘ䯂乬ህᰃˈབᵰ៥Ӏ⫼᳈ᖂ㾖ⱘ᭄᥂ˈ↨བ䇈ˈ៥Ӏ㗗㰥

䭓ᳳ᮴亢䰽߽⥛ˈ៥Ӏᇍ䱣ᴎᡬ⦄಴ᄤᑨᔧᦤߎҔМḋⱘ㽕∖˛䖭ѯ㽕∖ⱘ᳝⫼П ໘ᰃৃҹ⫼ᴹ䆘Ԅ䌘ѻᅮӋ῵ൟDŽϡ⒵䎇䖭ѯ㽕∖ⱘ῵ൟህϡ㛑⫼ᴹᦣ䗄ᅲ䰙᭄᥂DŽ

Alvarez ੠ _Jermann˄₂₀₀₅˅ⱘ᳔Џ㽕㒧ᵰℷᰃ᥼ᇐߎњ䱣ᴎᡬ⦄಴ᄤⱘ∌Й ᗻߚ䞣ⱘবࡼᗻⱘϟ䰤DŽ䖭Ͼϟ䰤ᰃ෎Ѣ䭓ᳳ䭓ᳳ᮴亢䰽߽⥛ˈⷁᳳ᮴亢䰽߽⥛ˈ ҹঞ݊ᅗᏺ亢䰽䌘ѻᬊⲞ⥛ПϞⱘDŽҪӀг᥼ᇐњᇍⷁ᱖ᗻߚ䞣ⱘ㒧ᵰDŽҪӀথ⦄ˈ

∌ Йᗻ ߚ䞣বࡼᐙᑺᕜ໻ ˈ 㗠Ϩг䖰↨ⷁ ᱖ᗻ ߚ䞣䞡 㽕 DŽ ঺ ໪ ˈ_Alvarez ੠

Jermann˄2005˅гⷨおњ䱣ᴎᡬ⦄಴ᄤ৘ߚ䞣বࡼ⥛੠⍜䌍ⱘবࡼ⥛П䯈ⱘ݇㋏DŽ

㗗㰥亢䰽ⱘᯊ䯈⡍ᗻⱘ↨䕗ᮄⱘⷨおᕜ໮DŽ՟བˈHansen, Heaton੠Li˄2008˅ 䗮䖛ᓎゟϔϾᇍ᭄㒓ᗻ῵ൟᴹⷨお೼䭓ᳳϞᬊⲞ⥛੠亢䰽П䯈ⱘ݇㋏DŽ_Koijen,

Nijman੠ _Werker˄₂₀₀₉˅ⷨおϔϾ⫳ੑ਼ᳳᡩ䌘㗙˄life cycle investor˅㛑ϡ㛑Ң বࡼⱘ؎ࠌ䍙乱ᬊⲞ⥛Ё㦋ⲞDŽHansen ੠ Scheinkman˄2009˅߭⫼ㅫヺ⧚䆎ᴹ㾷 ᵤഄⷨお೼䴲㒓ᗻ䖲㓁ᯊ䯈 _Markov ῵ൟЁ೼䭓ᳳϞᬊⲞ⥛੠亢䰽П䯈ⱘ݇㋏DŽ

Pastor ੠ Stambaugh˄2009˅߭ᣛߎሑㅵ೼㒳䅵Ϟ䭓ᳳ㙵⼼ᬊⲞ⥛⊶ࡼ䕗ᇣˈԚҢ

ᡩ䌘㗙ⱘ亢䰽أདⱘ㾦ᑺߎথˈ䭓ᳳ㙵⼼ᬊⲞ⥛ⱘ亢䰽ᅲ䰙Ϟ᳈催DŽ

䭓ᳳ亢䰽 䭓ᳳ亢䰽 䭓ᳳ亢䰽 䭓ᳳ亢䰽˄ ˄ ˄ ˄

Long-Run Risk

˅ ˅ ˅ ˅῵ൟ ῵ൟ ῵ൟ ῵ൟ

݇Ѣ䭓ᳳ亢䰽῵ൟҹঞдᛃ῵ൟП䯈ⱘѝ䆎ᰃϔϾ↨䕗᳝䍷ⱘ䇒乬DŽBansal

੠ Yaron˄2004˅ᓎゟњϔϾ䭓ᳳ亢䰽῵ൟDŽ೼䖭Ͼ῵ൟЁˈ⍜䌍੠㑶߽ⱘ๲䭓⥛

ࣙ৿ϔϾ䭓ᳳⱘৃ乘⌟ⱘ䚼ߚˈҹঞϔϾ䱣ᴎ⊶ࡼⱘϡ⹂ᅮᗻDŽᘏ⍜䌍ⱘഛؐ੠ᮍ ᏂⱘᣕЙᗻ⊶ࡼᓩ䍋㙵⼼ӋḐⱘ⊶ࡼDŽՓ⫼ Epstein ੠ Zin˄1991˅ⱘ䗦ᔦأདߑ

᭄ˈ_Bansal੠ _Yaronথ⦄ҪӀⱘ῵ൟ೼䗮ᐌⱘ亢䰽أད㋏᭄ؐⱘᚙމϟህ㛑໳㾷䞞

䍙乱ᬊⲞ⥛ˈ᮴亢䰽߽⥛ˈᏖഎᬊⲞ⥛ⱘ⊶ࡼˈҹঞӋḐ੠㑶߽ⱘ↨⥛DŽ೼_Bansalˈ

Kiku੠ Yaron˄2007˅Ёˈ԰㗙Ӏ䖯ϔℹ䆘Ԅ䭓ᳳ亢䰽῵ൟDŽ߽⫼ Eulerᮍ⿟ˈ԰

㗙Ӏথ⦄䭓ᳳ亢䰽῵ൟ㛑໳㾷䞞 _Fama੠ _French˄₁₉₉₆˅ϝ಴㋴῵ൟЁⱘᏖഎᬊⲞ

⥛ˈ㙵⼼໻ᇣᥦᑣⱘᬊⲞ⥛ˈҹঞᏖޔؐᥦᑣⱘᬊⲞ⥛DŽ

ԚᰃˈBeeler ੠ Campbell˄2009˅䞡ᮄᅵ㾚њ Bansal ੠ Yaron˄2004˅ⱘ䭓

ᳳ亢䰽῵ൟˈᑊথ⦄῵ൟ᳝ϔѯᅲ䆕Ϟⱘೄ䲒DŽ佪ܜˈ䭓ᳳ亢䰽῵ൟᛣੇⴔ䭓ᳳ⍜

䌍੠㑶߽๲䭓⥛ᑨᔧᰃ催ᑺᣕЙᗻⱘˈᑊϨৃҹ⫼㙵⼼ӋḐ乘⌟ˈ䖭੠џᅲⳌডDŽ

῵ൟгϡ㛑㾷䞞ЎҔМᅲ߽⥛ⱘ⊶ࡼ≵᳝ѻ⫳⍜䌍๲䭓⥛ⱘৃ乘⌟ᗻDŽ᳔ৢˈ䭓ᳳ

亢䰽῵ൟӮᇐߎ݇Ѣ䗮䋻㝼㚔݇㘨؎ࠌⱘ䖛Ԣⱘಲ᡹⥛DŽ

ৃҹ䇈 _Bansal ੠ _Yaron˄₂₀₀₄˅ᰃϔϾ↨䕗䞡㽕ⱘ⧚䆎থሩDŽᅗৠᯊᇍ⍜䌍

๲䭓⥛ҹঞ⊶ࡼ⥛ᓩܹњᣕЙᗻᡄࡼˈৠᯊгᇍᘏ⍜䌍੠ᘏ㑶߽԰њϔϾヺড়ᅲ䰙 ⱘऎߚDŽԚ _Beeler ੠ _Campbell˄₂₀₀₉˅ᣛߎⱘ䖭ѯೄ䲒㸼ᯢ䭓ᳳ亢䰽῵ൟг䆌䖬

᳝ᕙᬍ䖯੠ׂℷDŽ

♒䲒亢䰽 ♒䲒亢䰽 ♒䲒亢䰽˄ ♒䲒亢䰽 ˄ ˄ ˄

Disaster Risk

˅ ˅῵ൟ ˅ ˅ ῵ൟ ῵ൟ ῵ൟ

೼♒䲒亢䰽῵ൟЁˈⷨお㗙ᓩܹϔϾ♒䲒಴㋴DŽ⬅Ѣ䖭Ͼ಴㋴ⱘᄬ೼ˈᡩ䌘 㗙㽕∖᳈催ⱘಲ᡹DŽ↨䕗᳝ᕅડⱘ᭛⤂᳝ _Rietz˄₁₉₈₈˅੠_Barro˄₂₀₀₆˅DŽ᳔䖥ˈ

Gabaix˄2010˅জᇍ⧚䆎԰њ䖯ϔℹⱘথሩDŽ೼ Gabaix Ёˈ೼᳝♒䲒ᯊˈ䌘ѻⱘ

෎ᴀӋؐϟ䎠DŽ䖭জᓩ䍋䍙乱ᬊⲞ⥛ⱘᯊ䯈⊶ࡼˈҢ㗠ѻ⫳ᬊⲞ⥛ⱘৃ乘⌟ᗻDŽ

Gabaix Փ⫼њϔϾᮄ乪ⱘ㒓ᗻѻ⫳䖛⿟˄linear generating process˅ᡔᎻᴹᓎゟ῵

ൟˈՓᕫ῵ൟ᳝㾷ᵤ㾷ˈ಴ℸᕜ֓ѢߚᵤDŽ԰㗙থ⦄䖭Ͼ῵ൟ㛑໳㾷䞞कϾᅣ㾖䞥 㵡ᄺЁⱘ䇰ˈࣙᣀ㙵ᴗ⑶ӋП䇰_, ᮴亢䰽߽⥛П䇰ˈ㙵⼼ӋḐ⊶ࡼП䇰ˈҹঞ݊ᅗ

݇Ѣ؎ࠌ੠ᳳᴗⱘ䇰DŽ

ᰒ✊ˈབᵰ䖭ѯ㒧䆎䛑ᰃℷ⹂ⱘ䆱ˈ䙷М䖭Ͼ῵ൟ৥ᓎゟϔϾᇍᔶᔶ㡆㡆ⱘ ᅲ䆕Ёⱘϡ㾷П䇰䛑ৃ㸠ⱘ㒳ϔ⧚䆎䎼ߎњϔϾ໻ℹDŽԚⳂࠡ೼ _Gabaix˄₂₀₁₀˅ ⱘⷨおЁˈᇍ䖭ѯ䇰ᰃ䗤Ͼ⸈㾷ⱘˈ಴ℸ݇Ѣ῵ൟᇍ৘Ͼ䌘ѻⱘ㘨ড়ᅮӋ䖬䳔㽕خ

᳈໮ⱘⷨおDŽ

݇Ѣ♒䲒亢䰽῵ൟⱘ᳔ᮄⷨお䖬᳝ _Gourio˄₂₀₁₀˅ˈ_Wachter˄₂₀₀₉˅ˈҹঞ

Farhi੠_Gabaix˄₂₀₀₉˅ㄝDŽ䖭䞠ϡݡϔϔভ䗄DŽ

䴲ᅠ㕢Ꮦഎ 䴲ᅠ㕢Ꮦഎ 䴲ᅠ㕢Ꮦഎ˄ 䴲ᅠ㕢Ꮦഎ ˄ ˄ ˄

Imperfect Market

˅ ˅ ˅ ˅䌘ѻᅮӋ῵ൟ 䌘ѻᅮӋ῵ൟ 䌘ѻᅮӋ῵ൟ 䌘ѻᅮӋ῵ൟ

䴲ᅠ㕢Ꮦഎᰃ䌘ѻᅮӋ⧚䆎ЁⱘϔϾᕜ໻ⱘⷨおᮍ৥DŽᅗࣙ৿њ䆌䆌໮໮ⱘ ᄤ䇒乬ˈࣙᣀϡৃߚᬷࢇࡼᬊܹ˄non-diversifiable labor income˅亢䰽ˈֵᙃϡᇍ

⿄ᗻ ˄information asymmetry˅ ˈ

ᓖ

䋼 ⱘ ˄heterogeneous˅ ᡩ 䌘 㗙 ˈ ᳝䰤 খϢ

˄limited participation˅ˈ᳝䰤ᡓ䇎˄limited commitment˅ˈ᳝䰤༫߽˄_limited

arbitrage˅ ˈ ᳝䰤 ⊼ ᛣᑺ ˄limited attention˅ ˈ䴲 䳊Ѹ ᯧ䌍⫼ ˈ⌕ࡼᗻ 亢 䰽

˄liquidity risk˅ˈ῵ൟ亢䰽˄model risk˅ㄝㄝDŽ⡍ᅮⱘ䴲ᅠ㕢Ꮦഎ῵ൟϔ㠀䲚Ё

䅼䆎ϔϾᄤ䇒乬DŽ⬅Ѣ䴲ᅠ㕢Ꮦഎ᠔⍝䴶ᵕᑓˈ䖭䞠াᇍϡৃߚᬷࢇࡼᬊܹ亢䰽੠

᳝䰤খϢϸϾᄤ䇒乬԰ϔϾㅔऩⱘҟ㒡DŽ

Mankiw˄1986˅㗗㰥њϔϾ䴲ᅠ㕢Ꮦഎ῵ൟDŽ೼䖭Ͼ῵ൟЁˈ䱣ᴎⱘᡄࡼ಴

㋴೼џࠡᕅડ᠔᳝ⱘᡩ䌘㗙ˈԚџৢাᕅડᇥ᭄ⱘҎDŽ䖭ህՓᕫⷨお㗙ϡ㛑Ңড়䅵 ⱘ᭄᥂ᴹ᥼ㅫ亢䰽ॠᙊ㋏᭄DŽ䖭Ͼ῵ൟ੠ᅗⱘ৘⾡ᬍ䖯ৃҹ⫼ᴹⷨおϡৃߚᬷࢇࡼ

ᬊܹ亢䰽˄Constantinides ੠ Duffieˈ1996˅DŽ↨䕗ᮄⱘⷨおᰃ Storeletten, Telmer

੠ _Yaron ˄₂₀₀₄˅ҹঞ _Krueger੠ _Lustig˄₂₀₀₉˅DŽ݊Ё _Krueger੠ _Lustig˄₂₀₀₉˅

ⷨおҔМഎড়ϟˈ䴲ᅠ㕢Ꮦഎᇍ䌘ѻᅮӋ᳝ᕅડˈҔМഎড়ϟজ≵᳝ᕅડˈ ᰃϔ

㆛↨䕗ܼ䴶ⱘⷨお䆎᭛DŽ

Guvenen˄₂₀₀₉˅ᰃϔ㆛ؐᕫϔ䇏ⱘ݇Ѣ᳝䰤খϢⱘⷨお᭛⤂DŽ_Guvenen ⱘߎ

থ⚍ᰃдᛃ῵ൟⱘ؛䆒↨䕗䲒Ѣᤝᩌˈ಴ℸ Guvenen Ꮰᳯֱ⬭ㅔऩⱘᬜ⫼ߑ᭄ˈ Ԛᓩܹ᳝䰤খϢ੠ᓖ䋼ⱘᡩ䌘㗙DŽ݋ԧഄ䇈ˈ೼ᏖഎЁ᳝ϸ㉏Ҏˈϔ㉏ᰃ㙵ᏖখϢ 㗙ˈϔ㉏߭ϡখϢDŽҪӀ݋᳝ϡৠⱘ䎼ᳳᔍᗻ㋏᭄DŽ_Guvenen থ⦄ˈेՓᰃᅮ亢䰽

㋏᭄Ў 2ˈҪⱘ῵ൟг㛑㾷䞞᠔᳝дᛃ῵ൟЁ᠔㛑㾷䞞ⱘᅲ䆕⦄䈵DŽ᭛ゴ䖯ϔℹ㾷 䞞њЎҔМ᳝䰤খϢ῵ൟ੠дᛃ῵ൟ㒭ߎᕜ㉏Ԑⱘ㒧ᵰˈᑊϨᣛߎ᳝䰤খϢ῵ൟ㒭 ߎ᳈ࡴড়⧚ⱘᅣ㾖㒣⌢㒧ᵰDŽ݇Ѣ᳝䰤খϢ੠᳝䰤ᡓ䇎ⱘ↨䕗ᮄⱘⷨおࣙᣀ _Lustig

੠van Nieuwerburgh ˄2005˅ҹঞChienˈCole੠Lustig˄2009˅DŽ

ˑ ˑ ˑ

ˑˊ ˊ ˊ ˊ ᘏ㒧 ᘏ㒧 ᘏ㒧 ᘏ㒧

ᴀ᭛佪ܜҟ㒡њ䌘ѻᅮӋঞᡩ䌘㒘ড়ⱘ㒣݌⧚䆎DŽᅗӀࣙᣀ䌘ᴀ䌘ѻᅮӋ῵

ൟˈ༫߽ᅮӋ⧚䆎ˈ⍜䌍䌘ᴀ䌘ѻᅮӋ῵ൟҹঞ䎼ᳳ䌘ᴀ䌘ѻᅮӋ῵ൟDŽ ⿡ৢ៥ ҟ㒡њ݊Ҫϔѯ䖥ᳳⱘ䞡㽕ὖᗉঞ⧚䆎DŽ᳔ৢˈ៥䯤䗄њ䖥ᳳकᑈᴹⱘⷨおࡼ৥ঞ ሩᳯˈࣙᣀдᛃ῵ൟˈ♒䲒亢䰽῵ൟˈ䭓ᳳ亢䰽῵ൟˈ䴲ᅠ㕢Ꮦഎ῵ൟㄝㄝDŽ

೼㒧ᴳᴀ᭛Пࠡˈ៥ᇍ䌘ѻᅮӋ䖭ϔ乚ඳᦤկϔѯϾҎⱘⳟ⊩DŽ佪ܜˈ⬅Ѣ

⧚䆎Ḛᶊ෎ᴀ䛑Ꮖ⹂ゟˈ䖭ϔ乚ඳⳌᇍ↨䕗៤❳ˈ಴ℸ䕗䲒᳝ᕜ໻ⱘさ⸈DŽ䖯ܹ䖭 Ͼ乚ඳ佪ܜᕫᇍᏆ᳝ⱘ⧚䆎᳝䕗⏅ⱘ⧚㾷ᑺˈᑊϨ䳔㽕ⷨお㗙᳝↨䕗ᠢᅲⱘ᭄⧚ࡳ

ᑩDŽ䖭ѯࣙᣀὖ⥛䆎ˈᅲߚᵤˈأᖂߚᮍ⿟ˈ⌟ᑺ䆎ˈ䱣ᴎ䖛⿟ˈㄝㄝDŽ݊⃵ˈሑ ㅵ⧚䆎ḚᶊᏆ㒣⹂ゟˈԚ៥Ӏᑊ᳾ᡒࠄϔϾ㛑䕗ᅠ㕢ഄ㾷䞞㒣偠᭄᥂ⱘ咘䞥῵ൟDŽ

㉏Ԑ㙵ᴗ⑶ӋП㉏ⱘᕜ໮䇰䖬ㄝⴔⷨお㗙এᕏᑩ㾷އDŽϔϾ೼ᕜ䭓ᯊ䯈ݙҡӮ↨䕗

⌏䎗ⱘߚᬃᇚᰃ㘨㋏⧚䆎੠ᅲ䆕П䯈ⷨおDŽ঺໪ˈ㸠Ў䞥㵡ᄺгᰃϔϾ⌏䎗ⱘᮍ৥DŽ г䆌ৃҹ䅸ЎˈᡒࠄϔϾ㛑ᅠ㕢ഄ㾷䞞᠔᳝㒣偠᭄᥂ⱘ咘䞥῵ൟᰃϡৃ㛑ⱘDŽ಴ℸˈ

೼䕗䭓ⱘϔ↉ᇚᴹˈⷨお㗙г䆌ᑨᔧ⒵䎇Ѣ㛑ᡒࠄᇍϡৠᚙᔶϟ㛑໳Ꮉ԰ⱘϡৠ῵

ൟDŽݡ⃵ˈ䱣ⴔᏖഎⱘথሩˈᮄⱘ䌘ѻ㹿ϡᮁ᥼ߎˈ՟བᮍᏂᳳᴗ˄variance

option˅ˈ⫳ੑ਼ᳳ෎䞥˄life cycle fund˅ˈֵ⫼䌘ѻㄝㄝDŽ䞥㵡᭄᥂г䍞ᴹ䍞໮

ḋ࣪ˈ೑䰙࣪ҹঞᖂ㾖࣪DŽ催乥⥛ⱘǃ催䋼䞣ⱘ೑䰙᭄᥂г䍞ᴹ䍞᱂䘡DŽ䖭ѯ䛑Ў

ⷨお㗙ᦤկњᮄⱘⷨおᇍ䈵DŽ᳔ৢˈ᳔䖥ⱘ䞥㵡ॅᴎг֗ՓҎӀ䞡ᮄᅵ㾚䌘ѻᄬ೼

ⱘⳂⱘˈҹঞ䌘ѻᅮӋЁⱘᡩ䌘㗙ᖗ⧚ҹঞ೑ᆊ䞥㵡ᬓㄪ಴㋴DŽᡞӴ㒳ⱘ䌘ѻᅮӋ

⧚䆎੠㸠Ў䞥㵡ᄺǃ䞥㵡ᬓㄪᄺǃ೑䰙䞥㵡ㄝ݊ᅗⳌ݇乚ඳⱘ᳝ᴎ㒧ড়䍋ᴹгᰃϔ Ͼᕜ᳝Ꮰᳯⱘⷨおᮍ৥DŽ

খ㗗᭛⤂

খ㗗᭛⤂

খ㗗᭛⤂

খ㗗᭛⤂˖ ˖ ˖ ˖

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