RISK‐AVERSION IN THE STOCK MARKET: SOME EMPIRICAL EVIDENCE
RISK‐AVERSION IN THE STOCK MARKET: SOME EMPIRICAL EVIDENCE
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股票市场的风险规避：一些经验证据
DOI：
10.1111/j.1540-6261.1965.tb02906.x
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发表时间：
1965
影响因子：
8
通讯作者：
W. Sharpe
中科院分区：
文献类型：
--
作者：
W. Sharpe
本杂志最近的一篇文章探讨了资本资产市场均衡的条件，假设投资者是风险规避者，对各种资产的未来表现有类似的（概率）信念，并且可以以共同（纯）利率借入或借出资金。简而言之，文章表明，在这种情况下，资本资产的市场价格将会调整，使得每个有效投资组合的收益率的预测风险与其预测的预期收益率线性相关。设 vi 为有效投资组合收益率主观概率分布的标准差，E1 为该分布的期望值，则资本资产的价格将会调整，直到所有有效投资组合都符合该关系
A RECENT ARTICLE in this Journal' explored the conditions for equilibrium in the market for capital assets under the assumptions that investors are riskaverters, have similar (probabilistic) beliefs about the future performance of various assets, and can borrow or lend funds at a common (pure) interest rate. Briefly, the article showed that under such conditions market prices of capital assets will adjust so that the predicted risk of each efficient portfolio's rate of return is linearly related to its predicted expected rate of return. Letting vi stand for the standard deviation of the subjective probability distribution of the rate of return on an efficient portfolio, and E1 for the expected value of the distribution, the prices of capital assets will adjust until all efficient portfolios conform to the relationship