不流动资产的定价与股权分置改革研究 - 金融工程

Contents
1. Introduction .......................................................................................1
1.1 The significance of subject ............................................................................ 1
1.2 Research methodology and main conclusions ............................................. 3
1.3 The feature and innovations of paper ............................................................ 7
1.4 Framework of paper ...................................................................................... 8
2. Literature review ..................................................................................9
2.1 Literature review 1:The influence of liquidity on portfolio selection and
asset pricing ................................................................................................... 9
2.1.1 From the point of view of Market Microstructure Theory ........................ 9
2.1.2 From the point of view of dynamic asset pricing .................................. 12
2.2 Literature review 2: The influence of illiquidity on portfolio selection
and asset pricing .......................................................................................... 16
2.2.1 Illiquid asset pricing in framework of one-period static analysis............ 17
2.2.2 Illiquid asset pricing in framework of intertemporal dynamic
programming .......................................................................................... 19
2.2.3 Equilibrium asset pricing with time-varying illiquidity ........................ 22
2.2.4 Value discount of illiquid asset................................................................ 24
2·2·5 The influence of illiquidity on asset pricing by option- pricing theory 26
2.3 Literature review 3: Research of asset pricing and the Reform of Equity
Segmentation in China ................................................................................. 27
3. The influence of marketability of illiquid asset on asset price――in
framework of One-period Static Analysis ......................................32
3.1 Models of liquid and Illiquid Asset Pricing-- under equity segmentation 33
3.2 The influence of Marketability of illiquid asset on asset price in liquid
market ............................................................................................................ 36
3.3 Conclusion .................................................................................................... 40
4. Illiquid asset pricing and Optimal Portfolio Choice―― in
framework of Intertemporal Dynamic Programming ..................41
4.1 Design model................................................................................................... 42