资产定价经典文献目录.doc

资产定价经典文献总结一、理论部分（一）开山之作Bachelier, L.,1900,1964, “Theory of Speculation, in P. Cootner (ed.)”, The Random Character of Stock Market Prices, Cambridge, MA:MIT Press, pp.1778.（二）一般均衡理论1、Arrow, Kenneth, and Gerard Debreu, 1954, “Existence of an Equilibrium for a Competitive Economy,” Econometrica 22, 265290.（三）证券组合选择理论1、Markowitz, M., 1952,“Portfolio Selection”, Journal of Finance, 7(1), pp.7791.（提出最优投资组合模型，以资产回报率的均值和方差作为选择的对象，不考虑个体的效用函数）2、Jaganmatham, B. and T. Ma , 2002,“Risk Reduction in Large Portfolios: A Role for Portfolio Weight Constraints”,Working Paper, Northwestern University.（研究投资组合权重受限制时的最优投资组合问题）（四）资本资产定价理论1、Sharpe, W., 1964,“Capital Asset Prices: A Theory of Capital Market Equilibrium under Conditions of risk”, Journal of Finance, 19, pp.425442.2、Lintner, L., 1965,“The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets”, Review of economics and Statistics, 47, pp.1337.3、Mossin, J., 1965, “Equilibrium in a Capital Asset Market”, Econometrica, 35, pp.768783.（以上三篇文献独立地得出资本资产定价理论）4、Fama, E. and K. French, 2004, “The Capital Asset Pricing Model: Theory and Evidence”, Working paper.（对CAPM的理论和实证研究作了综述性描述）（五）期权定价理论1、Sharpe, W., 1978, Investments, Englewood Cliffs, NJ:Prentice- Hall.（衍生证券定价理论之一：二叉树模型）2、Cox, J., S. Ross and M. Rubinstein, 1979, “Option Pricing: A Simplified Approach”, Journal of Financial Economics,7 , pp.22963.（对二叉树模型的扩展；二叉树的数值算法）3、Black, F. and M. Scholes, 1973, “The Pricing of Options and Corporate Liabilities”, Journal of Political Economy, 81 (3), pp.637654.4、Merton, R., 1973a,“Theory of Rational Option Pricing”,Bell Journal of Economics and Management Sciences, 4(1),pp.141183.（衍生证券定价之二：连续时间模型，利用随机分析第一次对期权定价问题提出了严格的解决方法偏微分方程法）5、Smith, C, 1976,“Option Pricing: A Review”, Journal of Financial Economics, 3, pp.351.6、Malliaris, A., 1983 ,“Ito s Calculus in financial Decision Making”, Society of Industrial and Applied Mathematics Review, 25, pp.481496.（给出了偏微分方程的具体解过程）7、Duffie, D. J., 1992, “Dynamic Asset Pricing Theory”,Princeton University Press, Princeton.（给出了BSM定价公式的数学基础以及金融解释，同时还给出了期权定价的金融解释）8、Merton, R., 1997, “Applications of Option pricing Theory: Twenty- five Years Later”,American Economic Review, 88(3), pp.323349.9、Scholes, M, 1997,“Derivatives in a Dynamic Environment”,American Economic Review, 88(3), pp.350370.（两位学者在诺贝尔奖大会上对过去30年相关领域的发展回顾）10、Cox, J. and S. Ross, 1976, “The Valuation of Options for Alternative Stochastic Processes”,Journal of Financial Economics, 3, pp.14566.（衍生证券定价之三：风险中性定价模型，引入了风险中性定价的概念）11、Harrison, J. and D. Kreps, 1979,“Martingales and Arbitrage in Multi - period Securities Markets”, Journal of Economic Theory, 20, pp.381408.12、Harrison, J. and S. Pliska, 1981, “Martingale and Stochastic Integrals in the Theory of Continuous Trading”,Stochastic Process, Appl., 11, pp.215260.（建立了系统的风险中性定价理论框架以及市场无套利在其中的表现形式）13、Geman, H., N. El Karoui and J. Rochet, 1995,“Changes of Numeraire, Changes of Probability Measures and Pricing of Options”, Journal of Applied Probability, 32, pp.443458.（早期的风险中性定价是以货币市场帐户为计量单位的，该文章认为我们可以选取不同的计量单位，对于每一个计量单位，都有一个概率与其相对应，从而有不同的定价模型）14、Roll, R., 1977,“An Analytical Formula for Unprotected American Call Options on Stocks with Known Dividends”,Journal of Financial Economics, 5, pp.251258.（美式期权与奇异期权定价之一：近似算法。利用三个欧式看涨期权的复合证券来逼近以支付红利股票为标的物的美式看涨期权；提出了在不能得到闭式解情况下的定价方法）15、Geske, R. and H. Johnson, 1984, “The American Put Option Valued Analytically”, Journal of Finance, 39, pp.1511 1524.（把美式看跌期权价格的分析解表示成无穷序列的复合期权的价格）16、Barone - Adesi, G. and R. Whaley, 1987, “Efficient Analytical Approximation of American Option Values”, Journal of Finance, 42, pp.301320.（提出以商品和期货合约为标的物的美式看涨和看跌期权定价问题；提出了在不能得到闭式解情况下的定价方法）17、Bensoussan, A., 1984,“On the Theory of Option Pricing”,Acta. Appl. 2, pp.139158.（利用最优停时问题来研究美式期权的定价问题）18、Brennan, M. and E. Schwartz, 1978,“Finite Difference Methods and Jump Processes Arising in the Pricing of Contingent Claims: A Synthesis”, Journal of Financial and Quantitative Analysis, 13, pp.461474.（美式期权与奇异期权定价之二：数值算法。数值算法之一：有限差分方法）19、Boyle, P., 1977, “Options: A Monte Carlo Approach”,Journal of Financial Economics, 4, pp.323338.20、Boyle, P., M. Broadie and P. Glasserman, 1997,“Monte Carlo Methods for Security Pricing”, Journal of Economics Dynamics and Control, 21, pp.12671321.21、Longstaff, F. and E. Schwartz, 2001,“Valuing American Options by Simulation: A Simple Least - squares Approach”,Review of Financial Studies, 14(1), pp.113147.（数值算法之二：Monte Carlo方法）22、Boyle, P., 1988,“A Lattice Framework for Option Pricing with Two State Variables”, Journal of Financial and Quantitative Analysis, 23, pp.112.23、Broadie, M. and P. Glasserman, 1997,“Pricing American-style Securities Using Simulation”, Journal of Economic Dynamics and Control, 21, pp.13231352.（数值算法之三：二叉树方法，其中文献23对各种方法进行了总结）24、Brennan, M. and E. Schwartz, 1985,“Evaluating Natural Resource Investments”, Journal of Business, 58, pp.13557.（自然资源投资的定价问题）25、Paddock, J., D. Siegel and J. Smith, 1988,“Option Valuation of Claims on Real Assets: The Case of Offshore Petroleum Leases”, Quarterly Journal of Economics, 103, pp.479508.（研究了海洋天然气租赁合同的定价问题）26、Ingersoll, Jr. and S. Ross, 1992, “Waiting to Invest: Investment and Uncertainty”, Journal of Business, 65, pp.129.（研究了公司投资决策中的资本预算问题）27、McDonald 和Siegel ( 1986) The value of waiting to invest28、Novy- Marx, R., 2003,“An Equilibrium Model of Investment Under Uncertainty”, Working paper, University of California, Berkeley.29、Lambrecht, B., 2001, “The Timing and Terms of Takeovers under Uncertainty: A Real Option Approach”, Working paper, University of Cambridge.（利用期权定价理论来研究公司的最优投资、并购等行为）30、Scheinkman, J. and W. Xiong, 2003,“Overconfidence and Speculative Bubbles”, Journal of Political Economy, 111, pp.11831219.（利用期权定价思想来确定资产价格中泡沫的大小）（六）跨期最优消费与投资决策理论（效用函数的推广、随时间变化的投资机会集）1、Samuelson, P. A., 1969,“Lifetime Portfolio Selection by Dynamic Stochastic Programming”, Review of Economics and Statistics, 51, pp.239246.（阐述了一期模型与多期模型的关系，只有在特定的条件下，一期模型与多期模型的解才是相同的（把多期中投资者的这种行为称为短视的）。当投资者没有劳动收入，效用函数是时间可加的VNM效用函数时，投资为短视的充分条件是，效用函数是对数效用函数或指数函数，而且回报率是独立同分布的。）2、Merton, R., 1969,“Lifetime Portfolio Selection under Uncertainty: the Continuous - time Case”, Review of Economics and Statistics, 51, pp.247257.3、Merton, R., 1971,“Optimal Consumption and Portfolio Rules in a Continuous Time Model”, Journal of Economy Theory, 3(4), pp.73413（纸本）.4、Merton, R., 1973b, “An Intertemporal Capital Asset Pricing Model”, Econometrica, 41, pp.867887.（跨期对投资机会的影响：当投资机会随时间变化时，长期投资者通常会关心对投资机会的冲击，而不仅仅关心财富本身，投资者会采取措施来避免对投资机会的冲击，从而需要金融资产来进行跨期对冲避险。）5、Ross, S., 1998,“Samuelson s Fallacy of Large Numbers Revisited”, Working paper, MIT.（指出绝大多数研究都假设投资者的效用函数是幂函数或者其推广形式）6、Epstein, L. and S. Zin, 1989,“Substitution, Risk Aversion and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework”, Econometrica, 57, pp.937969.7、Epstein, L. and S. Zin, 1991,“Substitution, Risk Aversion and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis”, Journal of Political Economy, 99(2), pp.263286.8、Weil, P., 1989,“The Equity Premium Puzzle and the Risk- free Rate Puzzle”, Journal of Monetary Economics, 24, pp.401421.（幂效用函数的一种推广形式非期望效用函数，特点是跨期替代弹性与风险回避系数之间可以部分独立，与VNM效用函数正好相反）9、Giovannini, A. and P. Weil, 1989,“Risk Aversion and Intertemporal Substitution in the Capital Asset Pricing Model”,NBER Working paper.（幂效用函数形式下的最优投资组合的应用）10、Campbell, J., 1993,“Intertemporal Asset Pricing without Consumption Data”, American Economic Review, 83, pp.487512.11、Campbell, J., 1996,“Understanding Risk and Return”, Journal of Political Economy, 104, pp.298345.12、Campbell, J. and L. Viceira, 1999, “Consumption and Portfolio Decisions when Expected Returns are Time Varying”,Quarterly Journal of Economics, 114, pp.433495.13、Campbell, J. and L. Viceira, 2001, “Who Should Buy Long- term Bonds?”, American Economic Review, 91 (1), pp.99127.（研究跨期替代弹性与投资者的消费与投资行为）14、Canner, N. and N. Mankiw, and D. Weil, 1997,“An Asset Allocation Puzzle”, American Economic Review, 87, pp. 18191.（资产配置之谜：美国投资者投资在债券上的财富与投资在股票上的财富随着投资者风险厌恶系数的增加而增加，与两基金分离定理矛盾）15、Brennan, M. and Y. Xia, 2000, “Stochastic Interest Rates and Bond - stock Mix”, European Finance Review, 4, pp. 197210.16、Wachter, J., 2003, “Risk Aversion and Allocation to Long- term Bonds”, Journal of Economic Theory, 112, pp.325 333.（通过研究实际利率变化的经济系统来解释资产配置之谜）17、Siegel, J., 1999, Stock for the Long Run, 2nd ed. Irwin.（证明了对长期投资者而言，股票是相对安全的投资工具）18、Kim, T. and E. Omberg, 1996,“Dynamic Non- myopic Portfolio Behavior”, Review of Financial Studies, 9, pp.357390.19、Wachter, J., 2002,“Portfolio and Consumption Decisions Under Mean - Reverting Returns: An Exact Solution for Complete Markets”, Journal of Financial and Quantitative Analysis, 37, pp.6391.（研究了风险溢价随时间变化的最优消费和投资行为）20、Brennan, M., E. Schwartz, and R. Lagnado, 1997,“Strategic Asset Allocation”, Journal of Economic Dynamics and Control, 21, pp.13771403.21、Campbell, J., Y. Chen and L. Viceira, 2003,“A Multivariate Model of Strategic Asset Allocation”, Journal of Financial Economics, 67(1), pp.4180.22、Lynch, A., 2001,“Portfolio Choice and Equity Characteristics: Characterizing the Hedging Demands Induced by Return Predictability”, Journal of Financial Economics, 62, pp.67130.（研究实际利率和风险溢价都随时间变化时的最优消费和投资行为）23、Bodie, Z., R. Merton and W. Samuelson, 1991,“Labor Supply Flexibility and Portfolio Choice in a Life Cycle Model”,Journal of Economic Dynamic and Control, 16, pp.427449.24、Viceira, L., 2001,“Optimal Portfolio Choice for Long horizon Investors with Nontradable Labor Income”, Journal of Finance, 56(2), pp.433470.25、Heaton, J. and D. Lucas, 1997, “Market Frictions, Saving Behavior and Portfolio Choice”, Macroeconomic Dynamics,1, pp.76101.26、Cocco, J., F. Gomes, and P. Maenhout, 2003,“Consumption and Portfolio Choice over the Life- cycle”, Forthcoming in Review of Financial Studies.27、Storesletten, K., C. Telmer and A. Yaron, 2003,“Asset Pricing with Idiosyncrtic Risk and Overlapping Generations”, CEPR Working paper.（劳动收入对于长期投资者投资组合的选择）（七）套利定价理论1、Ross, S., 1976, “Arbitrage Theory of Capital Asset Pricing”, Journal of Economic Theory, 13, pp.341360.（建立了套利定价理论，APT，具有等因子敏感度的证券或者证券组合的期望回报率（价格）是一样的）（八）基于消费的资本资产定价理论（CCAPM）1、Rubinstein, M., 1976,“The Valuation of Uncertain Incomes Streams and the Pricing of Options”, Bell Journal of Economics and Management Science, 7, pp.407425.2、Breeden, D. and Litzenberger, R., 1978, “Prices of State - contingent Claims Implicit in Option Prices”, Journal of Business, 51, pp.62151.3、Breeden, D., 1979, “An Intertemporal Asset Pricing Model with Stochastic Consumption and Investment Opportunities”, Journal of Financial Economics, 7, pp.265296.（九）代表性个体经济均衡模型（均衡定价的代表作）1、Lucas, R., 1978,“Asset Prices in An Exchange Economy”,Econometrica, 46, pp.14261446.（资产定价的一般均衡模型、纯交换经济模型）2、Cox, J. C. , J. E. Ingersoll, JR. and S. A. Ross, 1985,“An Intertemporal General Equilibrium Model of Asset Prices”,Econometrica, 53, pp.363384.（生产经济中的均衡定价模型）3、Weil, P., 1990, “Nonexpected Utility in Macroeconomics”,Quarterly Journal of Economics, 105(1), pp.2942.4、Svensson, L., 1989, “Portfolio Choice with Non- expected Utility in Continuous time”, Economics Letters, 30(4), pp. 313317.5、Duffie, D. J. and L. Epstein, 1992,“Asset Pricing with Stochastic Differential Utility”, Review of Financial Studies, 5(3), pp.411436.（将Lucas效用函数改进为非期望效用函数）6、Sundaresan, S., 1989, “Intertemporally Dependent Preferences and the Volatility of Consumption and Wwealth”,Review of Financial Studies, 2, pp.7388.7、Constantinides, G., 1990,“Habit Formation: A Resolution of the Equity Premium Puzzle”, Journal of Political Economy, 98, pp.519543.8、Abel, A., 1990a, “Asset Prices Under Habit Formation and Catching up with the Jones”, American Economic Review, 80, pp.3842.9、Campbell, J. and J. Cochrane, 1999, “By Force of Habit:A Consumption - based Explanation of Aggregate Stock Market Behavior”, Journal of Political Economics, 107, pp.205251.（考虑习惯影响的效用函数）10、Ferson, M. and G. Constantinides, 1991,“Habit Persistence and Durability in Aggregate Consumption: Empirical Tests”, Journal of Financial Economics, 39, pp.199240.11、Heaton, J., 1995,“An Empirical Investigation of Asset Pricing with Temporally Depend Preference Specifications”, Econometrica, 63(3), pp.681717.（习惯形成在资产定价中的运用）12、Campbell, J., 2000,“Asset Pricing at the Millennium”, Journal of Finance, 55( 4) , pp.15151567.（习惯形成在资产定价应用中的方式、特点以及缺陷和解决办法）（十）等价鞅测度方法解决不确定下跨期最优消费和投资组合问题有两大类方法：随机动态规划和风险中性定价，风险中性定价的部分文献参考文献10-121、Cox, J. C. and Huang, C. F., 1989,“Optimal Consumption and Portfolio Policies when Asset Prices Follow a Diffusion Process”, Journal of Economic Theory, 49, pp.3383.（一般条件下的最优消费和投资组合策略解的存在性）2、Karatzas, I., 1989,“Optimization Problems In the Theory of Continuous Trading”, SIAM J. Control Optim., 27, pp. 12211259.3、Karatzas, I., J. Lehoczky and S. Shreve, 1987, Optimal Portfolio and Consumption Decisions for A“Small Investor”on a Finite Horizon, SIAM J. Control Optim., 25, pp.15571586.（利用随机分析方法完整地分析了完备市场中的最优消费、投资组合和均衡定价问题）（十一）不完备市场中的资产定价1、Ingersoll, Jr., 1989, Spanning in Financial Markets, Bhattacharya, S. and G. Constantinides, eds., Theory of valuation, Rowman & Littlefield Publishers, Inc.2、Ross, S., 1978,“Mutual Fund Separation in Financial Theory- The Separating Distribution”, Journal of Economic Theory, 17, pp.25486.3、Ross, S., 1989a, “Spanning in Financial Markets”,Bhattacharya, S. and G. M. Constantinides, eds., Theory of valuation, Rowman & Littlefield Publishers, Inc.4、Rubinstein, M., 1976,“The Valuation of Uncertain Incomes Streams and the Pricing of Options”, Bell Journal of Economics and Management Science, 7, pp.407425.5、Scheinkman, J., 1989, “Market Incompleteness and the Equilibrium Valuation Assets”, Bhattacharya, S. and G. M. Constantinides, eds., Theory of valuation, Rowman & LittlefieldPublishers, Inc.6、Stiglitz, Z., 1989, “Mutual Funds, Capital Structure and Economic Efficiency”, Bhattacharya, S. and G. M. Constantinides, eds., Theory of valuation, Rowman & Littlefield Publishers,Inc.（在不完备市场中，已有的完备市场中的结论所发生的变化）7、Constantinides, G., 1986,“Capital Market Equilibrium with Transaction Costs”, Journal of Political Economy, 94, pp.84262.（交易成本对交易的影响）8、He, H. and N. Pearson, 1991,“Consumption and Portfolio Policies with Incomplete Markets and Short - sale Constraints: The Infinite - dimensional Case”, Journal of Economic Theory, 54, pp.259304.9、Karatzas, I., J. Lehoczky, S. Shreve and G. Xu, 1991,“Martingale and Duality Methods for Utility Maximization in an Incomplete Market”, SIAM J. Control Optim., 29, pp.702730.10、Xu, G. and S. Shreve, 1992, “A Duality Method for Optimal Consumption and Investment Under Short- selling Prohibition”, I. General market coefficients, Ann. Appl. Probability, 2,pp.87112.（利用鞅和对偶技巧，研究具有买卖空限制条件下的最优消费和投资组合问题）11、Cvitanic, J. and I. Karatzas, 1992, “Convex Duality in Constrained Portfolio Optimization”, Annal. Appl. Probability, 2, pp.767818.12、Cvitanic, J. and I. Karatzas, 1993,“Hedging Contingent Claims with Constrained Portfolios”, Ann. Appl. Probability, 3, pp.652681.13、Hindy, A., 1995,“Viable Prices in Financial Markets with Solvency Constraints”, Journal of Mathematical Economics, 24, pp.105135.14、Hindy, A. and C. Huang, 1995, “Asset Pricing with Linear Collateral Constraints”, Mimeo, Graduate School of Business, Stanford University.（考虑约束性证券投资组合）15、Cuoco, D., 1997,“Optimal Eonsumption and Equilibrium Prices with Portfolio Constraints and Stochastic Income”,Journal of Economic Theory, 72, pp.3373.（随机收入和约束性投资组合下的跨期消费和投资组合问题）（十二）异质性个体均衡模型1、Mehra, R. and E. Prescott, 1985,“The Equity Premium: A Puzzle”, Journal of Monetary Economics, 15 (2), pp.145161.2、Hansen, L. and K. Singleton, 1982, “Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations models”, Econometrica, 50, pp.126988.3、Hansen, L. and R. Jagannathan, 1991,“Restrictions on Intertemporal Marginal Rates of Substitution Implied by Asset Returns”, Journal of Political Economy, 99, pp.225262.（对代表性个体的实证研究，结论是并不能很好地解释实际的资产价格行为）4、Campbell, J. and N. Mankiw, 1989,“Consumption, Income and Interest Rates: Reinterpreting the Time - series Evidence”, in O. J. Blanchard and S. Fischer, eds.: National Bureau of Economics Research Macroeconomics Annual 4 (MIT Press, Cambridge, Mass).5、Mankiw, N. and S. Zeldes, 1991,“The Consumption of Stockholders and Non - stockholders”, Journal of Financial Economics, 1991, 29, pp.97112.6、102)Heaton, J. and D. Lucas, 1999, “Stock Prices and Fundamentals”, NBER Macroeconomics Annual, MIT Press, pp. 213242.7、Vissing- Jorgensen, A., 1997, “Limited Stock Market Participation”, Working paper, MIT.8、Brav, A., G. M. Constantinides and C. C. Geczy, 2002,“Asset Pricing with Heterogeneous Vonsumers and Limited Participation: Empirical Rvidence”, Journal of Political Economy, 110(4), pp.793824.9、Detemple, J. and S. Murthy, 1997,“Equilibrium Asset Prices and No - arbitrage with Portfolio Constraints”, Review of Financial Studies, 10, pp.11331174.10、Kogan, L., I. Makarov and R. Uppal, 2003,“The Equity Risk Premium and the Riskfree Rate in an Eeconomy with Borrowing Constraints”, Working paper, MIT.11、Kogan, L. and R. Uppal, 2002,“Asset Prices in a Heterogeneous-agent Economy with Portfolio Constraints”, Working Paper, MIT.（异质性约束）12、Dumas, B., 1989,“Two- person Dynamic Equilibrium in the Capital Market”, Review of Financial Studies, 2 (2), pp.157188.（两人经济系统）13、Wang, J., 1996,“The Term Structure of Interest Rates in a Pure Exchange Economy with Heterogeneous Investors”, Journal of Financial Economics, 41(1), pp.75110.（利用纯交换经济中异质偏好模型分析利率期限结构）14、Chan, Y. L., and L. Kogan, 2002, “Catchi