不完全市场中的后悔理论与资产定价异常
Regret Theory And Asset Pricing Anomalies In Incomplete Markets With Dynamic Un-Aggregated Preferences
摘要：
资本市场线（CML）、跨期资本资产定价模型（Intertemporal-CAPM）、资本资产定价模型/证券市场线（CAPM/SML）和跨期套利定价理论（IAPT）在投资组合管理、价值评估和资本市场融资中得到了广泛的应用，但这些理论都存在不准确性，并可能对风险管理和投资组合管理过程产生不利影响。本文介绍了几种可检验的金融理论，这些理论提供了深刻的见解，并可以根据实际数据进行校准，用于解决问题，并通过以下方式对文献做出贡献：i）解释ICAPM/CAPM，IAPT和CML可能准确的条件，以及为什么这些条件不可行;并解释了为什么不完全市场和动态非聚集市场的存在使得CML、IAPT和ICAPM不准确; ii）解释为什么消费-储蓄-投资-生产框架不足以进行资产定价和分析风险和资产价值的变化;引入一种同时考虑六个因素的资产定价统一方法，以及这种方法发挥作用的条件; iii）解释为什么休闲、税收和住房在资产定价中与消费和投资同等重要; iv）引入消费、税收、投资、休闲、无形资产和住房之间的跨期联合替代边际率（MRIJS）--该模型结合了后悔理论，并捕捉了标准资产定价模型不太适合的现实特征，这一框架可以支持特定的或非常一般的金融理论和/或非常复杂的模型; v）说明为什么跨期替代弹性（EIS）是不准确的，不足以用于资产定价和投资者偏好分析。
英文摘要：
Although the CML (Capital Market Line), the Intertemporal-CAPM, the CAPM/SML (Security Market Line) and the Intertemporal Arbitrage Pricing Theory (IAPT) are widely used in portfolio management, valuation and capital markets financing; these theories are inaccurate and can adversely affect risk management and portfolio management processes. This article introduces several empirically testable financial theories that provide insights, and can be calibrated to real data and used to solve problems, and contributes to the literature by: i) explaining the conditions under which ICAPM/CAPM, IAPT and CML may be accurate, and why such conditions are not feasible; and explaining why the existence of incomplete markets and dynamic un-aggregated markets render CML, IAPT and ICAPM inaccurate; ii) explaining why the Consumption-Savings-InvestmentProduction framework is insufficient for asset pricing and analysis of changes in risk and asset values; and introducing a unified approach to asset pricing that simultaneously considers six factors, and the conditions under which this approach will work; iii) explaining why leisure, taxes and housing are equally as important as consumption and investment in asset pricing; iv) introducing the Marginal Rate of Intertemporal Joint Substitution (MRIJS) among Consumption, Taxes, Investment, Leisure, Intangibles and Housing - this model incorporates Regret Theory and captures features of reality that dont fit well into standard asset pricing models, and this framework can support specific or very general finance theories and or very complicated models; v) showing why the Elasticity of Intertemporal Substitution (EIS) is inaccurate and is insufficient for asset pricing and analysis of investor preferences.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
