【分享】第1次网上读文章（第1楼已更新，增加了Lucas1978E文的导读）

这句话的意思是：外生的秉赋yt序列的过程有自相关性。也就是说cov(yt,yt+1)不等于0。后面说，描述yt的随机微分方程的特征根都在0和1之间。这是要求yt是一个平稳的序列。也就是E(yt)和Var(yt)不随时间变化。

这相关的内容可以看一看差分方程的书。

对于理性预期，我还是有些晕，人群中的人如果大量互相研究其他人的行为然后制定价格，也就是预期的形成方法是间接的，与客观的真理失去了直接联系。比如荷兰的郁金香泡沫，能不能算作理性预期的均衡。大家总在说，狂热的投机是非理性的，可是对于当事人自己，又认为自己是理性的。

延伸一些吧，看看mpt理论，拿出课堂中的一篇讨论

The MPT is regarded as a breakthrough in asset pricing and has great appeal. The MPT is premised on the Efficient Market Hypothesis (EMH). The EMH states that all available information has been incorporated into the asset prices. Namely, the stock price responses to economic changes quickly and completely. An important insight of the EMH is that fundamental values of the socio-economic information will be priced in the stock market (Yao, 1998). As Chen at al. (1986) stated, the long-run returns of the asset is influenced by systematic economic news and no additional rewards will be obtained by unsystematic or diversifiable risk.

Unlike traditional philosophy of valuation that tries to price each asset, Markowitz (1952) emphasizes the role of the risk-reducing benefits of diversification, and suggests that investors can obtain greater return with lower risk through diversification when the returns on different investments are not completely correlated. In this framework, the risk of an individual share must be defined jointly with its relation to the whole portfolio components. The lower the correlation between the assets, the greater the effect of risk reduction the diversification provides. Therefore, the MPT anticipates the total assets’ value in the perspective of the investor’s portfolio instead of a single asset.

Another advantage make the theory popular is that the model deals with both the return and risk (Harrington, 1987). Old valuation models discuss risk in a subjective concept: the likelihood of losses, however, the MPT is the function of both the expected return and the risk of the portfolio. It defines return as a probability-weighted mean value and the risk as the variance around the mean. Based on this mean-variance analytical approach, investors seek to maximize their utility by selecting the most “efficient” portfolio, which can be estimated by the individual return of every security in the portfolio and correlation between them (Harrington, 1987). Therefore, the investor’s decision is interpreted as the trade-off between the maximum expected return and the minimum risk.

Although the MPT offers an ideal framework to value the asset, it requires sophisticated calculation to estimate the expected return and risk of every asset in the portfolio (Elton and Gruber, 1995). The difficulty in estimating the forecast return and risk as well as the complicated calculation greatly limits its application. Over the past decades, several new models have been developed based on Markowitz’s (1952) mean-variance analytical framework, among which the most widely known is the Capital Asset Pricing Model (CAPM).

由于CAPM所存在的诸多缺陷，Rose 引入了外生的多因素均衡模型 套利定价理论 （APT）. 由于apt没有清楚的阐述那些变量可以影响股票回报，沿着实践检验的思路，大体可以区分为4中模型，其中Chen (1986)年的宏观因素模型是最有影响力的一个。

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非常得赞我们版！

截至到什么时间呢！

attain 是什么意思呢？

第一次网上读文章结束。“机器猫”与“pan111111”两位网友参与积极，特奖励金币300元。请两位网友在银行中开户后发短消息给我，我将转帐金币给二位。

近期内，我将就Lucas那篇文章写一个导读与评论，发在第一楼中。

拜读中，谢谢！