【摘要】 无成本假说是资本资产定价模型(CAPM)"资产均衡价格与投资者偏好无关结论"的根本原因。经借鉴新制度经济学关于社会成本分析的思路,在考虑成本的前提下研究了投资者的组合选择,认为:投资者偏好是决定其组合选择的重要因素;并且,定价是对总风险定价。最后,在分析投资者个体行为的基础上提出了基于投资者偏好的主观均衡定价模型。更多还原

【Abstract】 The No-cost Hypothesis is the fundamental cause for "Asset equilibrium price has nothing to do with the investor’s preference" in Capital Asset Prices Model (CAPM). In light with the new system economics theory on social cost and considering the cost, this paper attempts to make a study of the combination alternative of the investors. It proposes that investor’s preference is an important factor determining the combination alternative. Besides, price-fixing aims to fix the price of total risk. After analyzing the individual behavior of the investor, this paper puts forward a subjective equilibrium prices model based on the investor’s preference.更多还原