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1、HotEssay论文网（www.ocscf.org）-专业paper写作,report写作辅导中心美国paper写作-Stephen RossStephen Ross is one of the most influential contemporary American financial scientists. Born in Boston, Massachusetts in 1944, he received his bachelors degree in physics and mathematics from California institute of technology in
2、 1965, and his doctors degree in philosophy from Harvard University in 1970. Modigliani is a professor at MIT Sloan school of management, a member of the American academy of arts and sciences, and has taught at the Wharton school of the university of Pennsylvania and Yale university. Ross has publis
3、hed hundreds of articles and several monographs in top journals of economics and finance, among which corporate finance is the best-selling textbook of finance in the world.斯蒂芬罗斯是当代美国最有影响力的金融科学家之一。1944年生于马萨诸塞州波士顿，1965年在加州理工学院获得物理学和数学学士学位，1970年在哈佛大学获得哲学博士学位。莫迪利安尼是麻省理工斯隆管理学院教授，美国艺术与科学学院成员，曾在宾夕法尼亚大学沃顿商
4、学院和耶鲁大学任教。罗斯在世界顶级财经杂志上发表了数百篇文章和多篇专著，其中企业财务是世界上最畅销的财经教科书。His main research interests include arbitrage pricing theory, option pricing theory and agency theory, among which arbitrage pricing theory is the most widely known. The term structure model and option pricing model developed by Ross and his pa
5、rtners have become one of the core pricing standards of major exchanges around the world.他的主要研究方向包括套利定价理论、期权定价理论和代理理论，其中最广为人知的是套利定价理论。Ross和他的合作伙伴开发的期限结构模型和期权定价模型已经成为全球主要交易所的核心定价标准之一。Markowitzs research on asset portfolio in the 1950s opened up a new field of modern securities portfolio theory, which
6、 theoretically solved the problem of how to diversify investment in order to obtain the highest return and bear the minimum risk of assets. The securities portfolio USES mean-variance model to describe the behavior of investors in choosing the optimal securities portfolio, but it needs to calculate
7、the expected return, variance and covariance of individual securities and securities portfolio, which requires a large amount of calculation and affects the application of modern securities theory in practice. Then, in the 1960s, sharp put forward the capital asset pricing model, introduced beta coe
8、fficient to depict the systematic risk of the market, and linked the risk return of the security portfolio with the risk return of the market portfolio. However, the strict assumptions of CAPM and the untestability of market portfolio affect the application of this model in the financial practice fi
9、eld. Take the us stock market as an example. Even if the standard & poors 500 index can roughly reflect the market trend, it is not strictly the market portfolio of CAPM.20世纪50年代马科维茨对资产组合的研究开辟了现代证券投资组合理论的一个新领域，从理论上解决了如何使投资多样化，从而获得最高的收益，承担最小的资产风险的问题。证券投资组合使用均值-方差模型来描述投资者的行为,在选择最优证券投资组合,但它需要计算预期回报,方差和
10、协方差对个别证券和证券投资组合,这需要大量的计算和影响现代证券理论在实践中的应用。接着，夏普在20世纪60年代提出了资本资产定价模型，引入贝塔系数来描述市场的系统性风险，并将证券投资组合的风险收益与市场投资组合的风险收益联系起来。然而，CAPM的严格假设和市场组合的不可测性影响了该模型在金融实践领域的应用。以美国股市为例。即使标准普尔500指数能够大致反映市场趋势，严格来说也不是CAPM的市场组合。Ross published two articles, income, risk and arbitrage and the arbitrage theory of asset pricing,
11、which proposed the arbitrage pricing theory and provided a concise analysis framework for asset pricing. Arbitrage is one of the most fundamental concepts in modern finance. Arbitrage opportunity in the market means that a market trading strategy can meet the requirements of self-financing, immune t
12、o all risks, and can obtain risk-free returns at the end of the period under the condition that the number of assets is large enough. The basic idea of APT is that there is no arbitrage opportunity in the market at equilibrium, namely, no arbitrage principle. The idea of no arbitrage has become one
13、of the cornerstones of modern finance. ATP theory USES the concept of arbitrage to define the market equilibrium, and the model hypothesis is closer to the actual financial market. Compared with CAPM, ATP theory still assumes that investors have the same investment philosophy and are risk-avoiders w
14、ho pursue utility maximization, and there is no market incompleteness. The difference is that ATP removes the assumption that investors can borrow freely at risk-free interest rate and only have one investment period.APT indicates that the rate of return of risk assets is affected by multiple factor
15、s. In addition to internal risk factors of securities portfolio, external macro factors and other factors affecting the securities market will also have an impact. In fact, APT has nothing to do with carry trade, but is essentially an asset pricing model. The theoretical basis is that the price of r
16、isky assets is affected by different factors, and the comprehensive sum of all factors influences on the asset represents risk compensation, plus the risk-free return rate, which is the risk return level of the asset. APT takes all factors that may affect the return on assets into consideration. When only a single factor of market portfolio is considered, it degenerates into a single factor model, namely CAPM model. From this perspective, CAPM is just a
