动态经济用的资产定价_（英）奥特格　著_9787510050749

　　The starting point for any analysis in finance involvesassigning a cur-rent price tO a future strearfi of uncertainpayoffs．This iS the basic notionbehind any asset．pricing model．Takefor example，the price of a sharetO a competitive firm．Since theshare entitles the owner to claims for the future profits of thefirm．a central problem iS tO assign a value to thesefutureprofits．Take another asset-a house．This provides housing ser-vicesin all states of nature and at all dates．Consequently，the value ofthehouse today must reflect the value of these futureservices。Other examplesinclude the pricing of durable goods orinvestment projects based on theirfuture expected marginalproducts.One approach tO monetary economicsalso follows this basicprinciple-if money as an asset has value in equilib，rium（in theabsence of any legal restrictions），then this value must reflectthestream of services provided by this asset．
　　Our approach is tO derive pricing relationships for differentassets byspecilying the economic environment at the outset.OHe ofthe earliestexamples of this approach is Merton〔342〕．However，Mertondoes notrelate the technological sources of uncertainty tO theequilibrium prices ofthe riskv assets．AIternatively，he assumes agiven stochastic process for thereturns of different types ofassets and then prices them given assumptionsabout consumerpreferences．Consequently，the supply side is not explic.itlyconsidered by Merton．The asset-pricing model of Lucas〔317〕isfullygeneral equilibrium but it iS an endowment economy，SO thatconsumptionand investment decisions are trivial．Brock〔76〕developsan asset．pricingmodel with both the demand and supply side fullyspecified and links itup tO Ross‘s〔369〕arbitrage pricingmodel．
　　In this book，we will start from an explicit economic environmentanddeduce the implications for asset prices，and the form of theasset-pricingfulnction from the equilibrium in theseenvironments．To study the prob-lem of asset pricing，we COUId alsofollow another approach：we couldtake a very general and abstractapproach，Vmwlng asset pricing as thevaluation of a future stream ofuncertain payoffs from the asset accord．mg tO a general pricingfunction．（Aiven a minimal set ot assumpnonsabout the set ofpayoffs，we could try tO characterize the properties ofthis abstractpricing function．

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