搜索资源列表
R-code
- Compute the CAPM via R Software
Portfolio-Optimizer-Tool
- CAPM模型的Matlab实现程序。用于计算最优证券组合的配置和权重。-CAPM model of Matlab procedures. Used to calculate the optimal portfolio configuration and weight.
capm-daima
- CAPM代码,资本资产定价模型在Matlab中的实际应用。-Capital Asset Pricing Model with Missing Data
project1-2
- CAPM数值模拟,根据股票的收盘价格寻找最优投资组合,很实用,选修数理金融时的小小project-can be used to find the best portfolio based on CAPM
P-capm
- 价格型资本资产定价模型,可以用于直接计算股票价格,可供投资参考-Price-based capital asset pricing model, can be used to directly calculate the stock price, available for investment reference
revenue-in-long-term
- CAPM定理认为系统风险越大,则股票收益越大,然而,长期中,事实并非如此。该套代码验证了再长期情况下股票风险与收益的对应关系-CAPM principle has demonstrate that a good return always accompanies the big risk. But it may be wrong in the long-term perspective.
Develop-Asset-Pricing-Models
- 使用MATLAB构建资产定价模型(capm和三因子等),包含数据及m文件-Using MATLAB to Develop Asset-Pricing Models
He_Litterman_1999
- litterman模型代码 matlab(litterman model implementation with matlab.Black-Litterman is an asset allocation model that allows portfolio managers to incorporate views into CAPM equilibrium returns and to create more diversified portfolios than those genera
webinar111606
- 使用MATLAB构建capm和三因子模型,包含数据及m文件(Use MATLAB to build CAPM and three factor models, including data and M files)
19854828Develop-Asset-Pricing-Models
- matlab三因子()
capm模型的wald检验
- 用ols(程序文件one1)估算线性回归模型,并进行wald检验(程序文件two1.m) 最后作出数据残差图。
消费资产定价模型
- CCAPM是基于消费的资产定价模型,是通过代表消费者的优化问题而推导出的,由于代表性消费者未来各状态下的消费就等于经济中的总消费,进而等于经济中各状态下的总禀赋,而且代表性消费的边际效用是一个减函数,所以影响资产价格的是资产回报率与未来总禀赋的协方差,而不是资产回报率自身的波动率;而CAPM则强调,影响资产价格的是资产收益率与市场收益率的协方差,即风险因子β,而不是资产回报率自身的波动率。