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

累積前景理論、聚合及定價

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

摘要：累積前景理論（CPT）被當作股權溢價之謎等總體定價異象的可能解釋。本文指出，不同于期望效用模型，完備的市場不足以保證市場組合是有效的，并且不能夠保證标準的代表性主體分析是有效的。分離定理或共同基金定理僅在對CPT投資者非常有限的條件下成立。當以上定理不成立，聚合過程失敗，資産不一定像存在遵循CPT的投資者那樣定價。在更有限的條件下，市場組合可以在具有等概率狀态的完備市場中成為有效的。但在這種情況下，個人CPT投資者的行為總體上像一個标準的期望效用投資者。同樣，當資産分布是橢圓形時，資本資産定價模型（CAPM）适用于CPT投資者和期望效用最大化投資者的任何組合。

關鍵詞：累積前景理論，兩基金分離定理，最優投資組合，資本資産定價模型，極端風險規避

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

原文鍊接：http://cfr.ivo-welch.info/readers/pub/cfr-018.pdf

翻譯：任兆月