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題名 不完全財務市場下一般均衡的存在性與資本資產定價模式之研究
作者 黃銘世
Hwang, Ming-Shyh
貢獻者 胡聯國
黃銘世
Hwang Ming-Shyh
關鍵詞 不完全市場；一般均衡；流形；一般性的；資本資產定價模式
incomplete market；general equilibrium ；manifold； generic； CAPM
日期 1993
上傳時間 29-Apr-2016 16:43:04 (UTC+8)
摘要 以往財務理論在討論財務市場行為時，均是在完全市場( e market)的假
參考文獻 一、中文部份
     1.朱敬一，「個體經濟分析」，新陸書局，民國79年二版。
     2.陳省身，「微分幾何講義」，聯經書局，民國79年初版
     1. Andrew Abel `The Equity Premium Puzzle`( 1993 CFA Candidate Readings).
     2. Arnod V.I.(1973) Ordinary differential equations. Cambriage, MA:MIT Press.
     3. Arrow, K.J.(1953), `Le role des valeurs boursieeres pourla repartition la meilleure des risques. `Economhrie, Colloques Internationux du CNRS 1l,41-47.English translation in Review Of Economic Studies 31 (1964),91-96.
     4. Balasko ,Y.(1988) Foundations of the theory of general equilibrium. Boston, MA: Academic Press.
     5. Balasko Y.(1992) , The set of regular equilibria`, Journal of Economic Theory,58,1-8.
     6. Boothby, VV .M. (1986) An introduction to differentiable manifolds and riemannian geometry.2nd:Acadernic Press.
     7. Copleland, E. and J. Weston (1988) Financial Theory and Corporate Policy 3rd . :Addison-Wesley.
     8. Debreu ,G.(1959) Theory of value. New York :Wiley.
     9. Debreu, G.(1970) `Economics with a finite set of equilibria`, Econometrica, 38:387-392.
     10. Debreu, G. (1970) `Regular differentiable economies` ,American Economic Review ,66:280- 287.
     11. Diamond, P.(1967) `The role of a stock market in a general equilibrium model with technological uncertainty` ,American Economic Review,57:759-776.
     12. Dierker, E.(1972)`Two remarks on the number of equilibria of an economy` , Econometrica, 40:951-.53.
     13. Dierker ,E.(1974) Topological methods in Walrasian economics, Lecture notes in Economics and mathematical systems,no.92 :Springer Verlag, Berlin.
     14. Dierker, E.(1982)`Regular economies`,in: K.J. Arrow and M.D. Intriligator: eds.,Hancibook of mathematical economics, Vol.II. Amsterdam: North- Holland.
     15. Duffie, D .and W. Shafer( 1985) `Equilibrium in incomplete markets I: basic model of generic existence `,Journal of Mathematical Economic,15:285-300.
     16. Duffie, D .and W .Shafer(l 986) `Equilibriurn in incomplete markets II: Generic existence in stochastic economies, Journal of Mathematical Economic,15: 199-216.
     17. Duffie, D., "V. Shafer ,D. Cass, :M. Magill M. Quinzii and J. Geanakoplos( 1988) `Lecture Notes In Incomplete Markets`, Projectbereich A, Discussion Paper No. A-192.
     18. Duffie, D .(1987) `Stochastic equilibria with incomplete financial markets` ,Journal of Economic Theory ,41 :405-416.
     19. Duffie, D.(1988) Security Markets, stochastic models. New York: Academic Press.
     20. Duffie, D.(1992) Dynamic Asset Pricing Theory. Princeton University Press.
     21. Gale, D.(1960) The theory of linear economic models. New York: McGraw-Hill.
     22. Geanakoplos, J .and H. Polemarchakis( 19S6) `Existence, regularity, and constrained suboptimality of competitive allocations when markets are incomplete `,in: "V. P.Heller.R.1tI. Ross and D .A. Starrett, eds., Uncertainty, information and communication, Eassays in honor of Kenneth Arrow,Vol.3.Cambrige :Cambriage University Press.
     23. Geanakoplos ,J (198S) `Lecture Notes In Incomplete Markets`, Projectbereich
     A, Discussion Paper ))"0. A-192,Lecture 5.
     24. Geanakoplos, J .(1990)` An introduction to general equilibrium with incomplete asset markets` ,Journal of Mathematical Economics, 19:1-38.
     25. Geanakoplos, J. and W. Shafer(1990)`Solving systems of simultaneous equations in economics`, Journal of Mathematical Economics, 19:69-93.
     26. Guillemin, V. and A. Pollack(1974) Differential topology. Englewood Cliffs, NJ:Prentice Hall.
     27. Gemignani, M.C. (1976) Elementary topology,2nd.
     28. Hart ,O.(1975)`On the optlmality of equilibrium when the market structure is incomplete ` ,Journal of Economic Theory,11 :418- 443.
     29. Hirsch, M.(1976) Differential topology. New York :Springer-Verlag.
     30. Hirsch, M. D. and M. Migill and A. Mas-Collel (1990) `A geometric approach to a class of equilibrium existence theorems` ,Journal of Mathmatical Economics, 19:95-106.
     31. Husseini, S.Y.,J. M. Lasry and M. Magill,(1990)` Esistence of equilibrium with incomplete markets `,Journal of Mathmatical Economics,19:39-67.
     32. Ingersoll ,J.( 1987) Theory of Financial Decision Making. Totowa, New Jersey :Rowman and Littlefiled.
     33. Magill, M. and W. Shafer (1990)`Characterisation of generically complete real asset structures`, Journal of Mathmatical Economics,19:167-194.
     34.Magill,M. and W. Shafer (1991) `Incomplete Markets` ,in: W. H -ildenbrand and H.Sonnenschein eds. ,Handbook of mathematical economics, Vol. IV. Amsterdam: North-Holland.
     35. Markowitz, H.(1952) `Portfolio Slection` ,Journal of Finance, March: 77-79.
     36. Mas-Collel, A. (1977) `On the equilibrium price set of exchange economy `Journal of Mathematical Economics,4,117-126.
     37. Mas-Collel,A.(1985) The theory of general economic equilibrium - a differentiable approach. Cambriage: Cambriage University Press.
     38.Mehra,R.and Prescott, E.C.(1985)`The equity premium: A puzzle.` ,Journal of IvIonetary Economics,15:145-161.
     39.Milnor,J.(1958) Differential topology, Lectures, Princeton University ,Notes by Mankres, J.
     40. Milnor, J.(1965) Topology from the differentiable Viewpoint. Chariottesville:
     University Press of Virginia.
     41. Naber, G.L.(1980) Topological methods in Euclidean spaces. Cambriage,
     Cambriage University Press.
     42. Rander ,R.( 1972) `Existence of equilibrium of plans,prices, and expectations
     in a sequence of markets` ,Econometrica,40:289-303.
     43. Sharpe,\\V.F.(1963)`A simplied model of portfolio selection`, Management
     Science, IX,( January ),p277 -293.
     44. Werner ,J. (1985) `Equilibrium in economies with incompletet financial
     markets` ,Journal of Economic Theory,36: 11 0-119.
     45. Varian, H.(1975) `A third remark on the number of equilibria of
     an economy` ,Econometrica,43:985-986.
     46. Varian, H.(1992) Microeconomic Analysis .3rd.New York :Norton.
描述 碩士
國立政治大學
國際經營與貿易學系
80351024
資料來源 http://thesis.lib.nccu.edu.tw/record/#B2002004160
資料類型 thesis
dc.contributor.advisor 胡聯國zh_TW
dc.contributor.author (Authors) 黃銘世zh_TW
dc.contributor.author (Authors) Hwang Ming-Shyhen_US
dc.creator (作者) 黃銘世zh_TW
dc.creator (作者) Hwang, Ming-Shyhen_US
dc.date (日期) 1993en_US
dc.date.accessioned 29-Apr-2016 16:43:04 (UTC+8)-
dc.date.available 29-Apr-2016 16:43:04 (UTC+8)-
dc.date.issued (上傳時間) 29-Apr-2016 16:43:04 (UTC+8)-
dc.identifier (Other Identifiers) B2002004160en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/88999-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 國際經營與貿易學系zh_TW
dc.description (描述) 80351024zh_TW
dc.description.abstract (摘要) 以往財務理論在討論財務市場行為時，均是在完全市場( e market)的假zh_TW
dc.description.tableofcontents 第一章緒論．．．．．．．．．．1
     第一節研究動機與目的．．．．．．．．．．1
     第二節研究方法．．．．．．．．．．2
     第三節本文內容與架構．．．．．．．．．．3
     第二章理論文獻(一)均衡流形與正規經濟．．．．．．．．．．5
     第一節前言．．．．．．．．．．5
     第二節均衡流形．．．．．．．．．．7
     第三節正規經濟(Regular economics)．．．．．．．．．．13
     第三章理論文獻(二)不完全財務市場下pseudo均衡與generic存在．．．．．．．．．．16
     第一節前言．．．．．．．．．．16
     第二節不完全財務市場均衡．．．．．．．．．．19
     第三節垂直子空間與代表子空間．．．．．．．．．．28
     第四節modulo 2 map approach．．．．．．．．．．32
     第五節 vector bundle approach．．．．．．．．．．40
     第四章不完全財務市場下資本資產定價模式．．．．．．．．．．51
     第一節前言．．．．．．．．．．51
     第二節單一商品模式．．．．．．．．．．52
     第三節多商品推廣模式與資本資產定價模式的成立性．．．．．．．．．．57
     第五章結論與建議．．．．．．．．．．68
     第一節研究結論．．．．．．．．．．68
     第二節研究建議．．．．．．．．．．70
     參考文獻．．．．．．．．．．71		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002004160en_US
dc.subject (關鍵詞) 不完全市場；一般均衡；流形；一般性的；資本資產定價模式zh_TW
dc.subject (關鍵詞) incomplete market；general equilibrium ；manifold； generic； CAPMen_US
dc.title (題名) 不完全財務市場下一般均衡的存在性與資本資產定價模式之研究zh_TW
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 一、中文部份
     1.朱敬一，「個體經濟分析」，新陸書局，民國79年二版。
     2.陳省身，「微分幾何講義」，聯經書局，民國79年初版
     1. Andrew Abel `The Equity Premium Puzzle`( 1993 CFA Candidate Readings).
     2. Arnod V.I.(1973) Ordinary differential equations. Cambriage, MA:MIT Press.
     3. Arrow, K.J.(1953), `Le role des valeurs boursieeres pourla repartition la meilleure des risques. `Economhrie, Colloques Internationux du CNRS 1l,41-47.English translation in Review Of Economic Studies 31 (1964),91-96.
     4. Balasko ,Y.(1988) Foundations of the theory of general equilibrium. Boston, MA: Academic Press.
     5. Balasko Y.(1992) , The set of regular equilibria`, Journal of Economic Theory,58,1-8.
     6. Boothby, VV .M. (1986) An introduction to differentiable manifolds and riemannian geometry.2nd:Acadernic Press.
     7. Copleland, E. and J. Weston (1988) Financial Theory and Corporate Policy 3rd . :Addison-Wesley.
     8. Debreu ,G.(1959) Theory of value. New York :Wiley.
     9. Debreu, G.(1970) `Economics with a finite set of equilibria`, Econometrica, 38:387-392.
     10. Debreu, G. (1970) `Regular differentiable economies` ,American Economic Review ,66:280- 287.
     11. Diamond, P.(1967) `The role of a stock market in a general equilibrium model with technological uncertainty` ,American Economic Review,57:759-776.
     12. Dierker, E.(1972)`Two remarks on the number of equilibria of an economy` , Econometrica, 40:951-.53.
     13. Dierker ,E.(1974) Topological methods in Walrasian economics, Lecture notes in Economics and mathematical systems,no.92 :Springer Verlag, Berlin.
     14. Dierker, E.(1982)`Regular economies`,in: K.J. Arrow and M.D. Intriligator: eds.,Hancibook of mathematical economics, Vol.II. Amsterdam: North- Holland.
     15. Duffie, D .and W. Shafer( 1985) `Equilibrium in incomplete markets I: basic model of generic existence `,Journal of Mathematical Economic,15:285-300.
     16. Duffie, D .and W .Shafer(l 986) `Equilibriurn in incomplete markets II: Generic existence in stochastic economies, Journal of Mathematical Economic,15: 199-216.
     17. Duffie, D., "V. Shafer ,D. Cass, :M. Magill M. Quinzii and J. Geanakoplos( 1988) `Lecture Notes In Incomplete Markets`, Projectbereich A, Discussion Paper No. A-192.
     18. Duffie, D .(1987) `Stochastic equilibria with incomplete financial markets` ,Journal of Economic Theory ,41 :405-416.
     19. Duffie, D.(1988) Security Markets, stochastic models. New York: Academic Press.
     20. Duffie, D.(1992) Dynamic Asset Pricing Theory. Princeton University Press.
     21. Gale, D.(1960) The theory of linear economic models. New York: McGraw-Hill.
     22. Geanakoplos, J .and H. Polemarchakis( 19S6) `Existence, regularity, and constrained suboptimality of competitive allocations when markets are incomplete `,in: "V. P.Heller.R.1tI. Ross and D .A. Starrett, eds., Uncertainty, information and communication, Eassays in honor of Kenneth Arrow,Vol.3.Cambrige :Cambriage University Press.
     23. Geanakoplos ,J (198S) `Lecture Notes In Incomplete Markets`, Projectbereich
     A, Discussion Paper ))"0. A-192,Lecture 5.
     24. Geanakoplos, J .(1990)` An introduction to general equilibrium with incomplete asset markets` ,Journal of Mathematical Economics, 19:1-38.
     25. Geanakoplos, J. and W. Shafer(1990)`Solving systems of simultaneous equations in economics`, Journal of Mathematical Economics, 19:69-93.
     26. Guillemin, V. and A. Pollack(1974) Differential topology. Englewood Cliffs, NJ:Prentice Hall.
     27. Gemignani, M.C. (1976) Elementary topology,2nd.
     28. Hart ,O.(1975)`On the optlmality of equilibrium when the market structure is incomplete ` ,Journal of Economic Theory,11 :418- 443.
     29. Hirsch, M.(1976) Differential topology. New York :Springer-Verlag.
     30. Hirsch, M. D. and M. Migill and A. Mas-Collel (1990) `A geometric approach to a class of equilibrium existence theorems` ,Journal of Mathmatical Economics, 19:95-106.
     31. Husseini, S.Y.,J. M. Lasry and M. Magill,(1990)` Esistence of equilibrium with incomplete markets `,Journal of Mathmatical Economics,19:39-67.
     32. Ingersoll ,J.( 1987) Theory of Financial Decision Making. Totowa, New Jersey :Rowman and Littlefiled.
     33. Magill, M. and W. Shafer (1990)`Characterisation of generically complete real asset structures`, Journal of Mathmatical Economics,19:167-194.
     34.Magill,M. and W. Shafer (1991) `Incomplete Markets` ,in: W. H -ildenbrand and H.Sonnenschein eds. ,Handbook of mathematical economics, Vol. IV. Amsterdam: North-Holland.
     35. Markowitz, H.(1952) `Portfolio Slection` ,Journal of Finance, March: 77-79.
     36. Mas-Collel, A. (1977) `On the equilibrium price set of exchange economy `Journal of Mathematical Economics,4,117-126.
     37. Mas-Collel,A.(1985) The theory of general economic equilibrium - a differentiable approach. Cambriage: Cambriage University Press.
     38.Mehra,R.and Prescott, E.C.(1985)`The equity premium: A puzzle.` ,Journal of IvIonetary Economics,15:145-161.
     39.Milnor,J.(1958) Differential topology, Lectures, Princeton University ,Notes by Mankres, J.
     40. Milnor, J.(1965) Topology from the differentiable Viewpoint. Chariottesville:
     University Press of Virginia.
     41. Naber, G.L.(1980) Topological methods in Euclidean spaces. Cambriage,
     Cambriage University Press.
     42. Rander ,R.( 1972) `Existence of equilibrium of plans,prices, and expectations
     in a sequence of markets` ,Econometrica,40:289-303.
     43. Sharpe,\\V.F.(1963)`A simplied model of portfolio selection`, Management
     Science, IX,( January ),p277 -293.
     44. Werner ,J. (1985) `Equilibrium in economies with incompletet financial
     markets` ,Journal of Economic Theory,36: 11 0-119.
     45. Varian, H.(1975) `A third remark on the number of equilibria of
     an economy` ,Econometrica,43:985-986.
     46. Varian, H.(1992) Microeconomic Analysis .3rd.New York :Norton.		zh_TW