湖南大学学报（社会科学版）2009，Vol.23Issue(4)：55-60,6.
基于异质信念的多资产动态定价模型研究
A Multi-Asset Pricing Model with Heterogeneous Belief
摘要
Abstract
This paper develops a dynamical framework of a financial market with heterogeneous agents investing among multiple risky assets and a risk-free asset. Traders are classified into fundamentalists and chartists who have different expectation about the mean and variance of prices. They choose trading strategies based on their performances. Asset price is driven by the interaction between heterogeneous traders. The paper places an emphasis on the analysis of the interplay between two risky assets. We found that due to the correlation between the two assets, the price fluctuation spreads from one market to another market, leading to the "spill over" effect.关键词
多资产/价格动态/异质信念/溢出效应Key words
multi-asset/price dynamics/heterogeneous belief/spill over分类
管理科学引用本文复制引用
芮执多,李璐..基于异质信念的多资产动态定价模型研究[J].湖南大学学报（社会科学版）,2009,23(4):55-60,6.基金项目
国家自然科学基金项目(70601023),中国博士后科学基金项目(20060390827) （70601023）
