摘要
构造了一个基于相对财富和习惯形成的效用函数:投资者的偏好不但依赖于当前的消费水平,还依赖于投资者过去的消费水平以及在社会中的相对财富.使用新效用函数提出了基于相对财富和习惯形成的资本资产定价模型,并使用3个具体效用函数给出了具体的资产定价模型.
This paper constructed an utility function based on the relative wealth and habit formation, that is, the investor's preference depends on his consumption history, as well as his relative wealth. The new utility function was used to develop a general framework of CAPM with the relative wealth and habit formation, and three specific utility functions were used to get the asset-pricing model.
出处
《管理科学学报》
CSSCI
2004年第3期1-6,共6页
Journal of Management Sciences in China
基金
国家教育部博士点基金资助项目(01JB630009).
关键词
相对财富
习惯形成
资本资产定价模型
行为资产定价理论
relative wealth
habit formation
capital asset pricing model
behavior asset pricing theory
