Critical Finance Review, 2016, Vol 5-2(Forthcoming)

累积前景理论、聚合及定价

作者：Jonathan E. Ingersoll, Jr. (Yale University)

摘要：累积前景理论（CPT）被当作股权溢价之谜等总体定价异象的可能解释。本文指出，不同于期望效用模型，完备的市场不足以保证市场组合是有效的，并且不能够保证标准的代表性主体分析是有效的。分离定理或共同基金定理仅在对CPT投资者非常有限的条件下成立。当以上定理不成立，聚合过程失败，资产不一定像存在遵循CPT的投资者那样定价。在更有限的条件下，市场组合可以在具有等概率状态的完备市场中成为有效的。但在这种情况下，个人CPT投资者的行为总体上像一个标准的期望效用投资者。同样，当资产分布是椭圆形时，资本资产定价模型（CAPM）适用于CPT投资者和期望效用最大化投资者的任何组合。

关键词：累积前景理论，两基金分离定理，最优投资组合，资本资产定价模型，极端风险规避

Cumulative Prospect Theory, Aggregation, and Pricing

Jonathan E. Ingersoll, Jr. (Yale University)

ABSTRACT

Cumulative Prospect Theory (CPT) has been used as a possible explanation of aggregate pricing anomalies like the equity premium puzzle. This paper shows that, unlike in expected utility models, a complete market is not sufficient to guarantee that the market portfolio is efficient and that the standard representative-agent analysis is valid. The separation or mutual fund theorems hold only under very restrictive conditions for CPT investors. Without them, aggregation breaks down, and assets are not necessarily priced as if there were one investor who behaved according to CPT. Under more limited conditions, the market portfolio can be efficient in a complete market with equally probable states. But in this case, individual CPT investors behave in the aggregate like a standard expected utility investor. Similarly, when faced with elliptically distributed assets, the capital asset pricing model (CAPM) holds for any combination of CPT investors and expected utility maximizers.

Keywords: Cumulative Prospect Theory, Two-Fund Separation, Optimal Portfolios, CAPM, Extreme-Risk Avoidance

原文链接：http://cfr.ivo-welch.info/readers/pub/cfr-018.pdf

翻译：任兆月