金融资产的均衡价格模型

transactiotntcosshortsalestaxationTU),,,(yRxMU=yPNxPRMyx+=++λ+=),,,(maxyRxMUZPMN−−(xPRx+−y)y1UMxtxptRtytyptNtλ10≥x0≥y1xU∂∂xPλ−0≤,0≥x−∂∂xPxUxλ0=20≤+∂∂yPyUλ0≥y0=+∂∂yPyUyλ31+tt1+xExρ=4V522xxσ=xρx2σx1+tyρ=e6y722yvyσ=yρ2yσy1+tt47230≤−∂∂∂∂+∂∂∂∂xPxVVUxEEUλ0≥x0=−∂∂∂∂+∂∂∂∂xPxVVUxEEUxλ8022≤−∂∂+∂∂xxxPxVUEUλσρ0≥x022=−∂∂+∂∂xxxPxVUEUxλσρ0≤+∂∂∂∂+∂∂∂∂yPyvvUyeeUλ0≥y0=+∂∂∂∂+∂∂∂∂yPyvvUyeeUyλ92022≤+∂∂+∂∂PyyvUeUyyλσρ0≥y022=+∂∂+∂∂yyyPyvUeUyλσρ∂∂+∂∂−=0,2max2xxxvUPEUxσλρ10=+∂∂0,2xxxPkEUkσλρmax()∂∂−=VUk21VU∂∂kVU∂∂k0∂∂EU∂∂−∂∂−=0,2max2yyyvUPEUyσλρ10+∂∂=0,max2yxyPlEUlσλρ()∂∂−=vU21l0∂∂eU3bbaabayx=−∂∂0,max2xaaxaPkEUkσλρ=+∂∂0,max2YBbybPleUlσλρ12axbyt2222ybbxaaybybxaxalkeUlEUkPσλσλσρσρ+∂∂−∂∂=1313abbat1+tab()()bybaxaeUEUλρλρ∂∂=∂∂a2xaσb2σyb()()bybaxaeUEUλρλρ∂∂∂∂2xaσ2ybσ()()bybaxaeUEUλρλρ∂∂∂∂2xaσ2ybσab13balkeUlEUkPλλρ+∂∂−∂∂=14tabt1+t()()[]eUlEUk∂∂−∂∂()blkaλλ+E∂U∂()eU∂∂−aλ4bλPtρi,XZ∑iiPYPj∂iPλ≥∂jPλj++1)(),,(maxjjjiiyPRxPMNYRMU∑+−−−+=λ15Xixixitjyjyjjt0≤−∂ixU0ix0=−∂∂IiiPxUxλimn,,11=160≤−∂jyU0≥y0=−∂∂jjjPyUyλnj,,1=17mntttmn1t1∑==mniiixE11ρ18iρti1+tV19∑∑===mnimnqiqqixx1111σiqσti1+tqt171+RM50211≤−∂∂+∂∂∑=imnqqiqiPxVUEUλσρ200≥ix0211=−∂∂+∂∂∑=imnqqiqiiPxVUEUxλσρmni,,11=0∂∂VU,011≥−∂∂−∑=iimnqqiqPEUkxλρσ210≥ix011=−∂∂−∑=iimnqqiqiPEUkxxλρσ()mni,,11=21Φ−∂∂−≤≥λθEUKCXX022C()mnxx,,11Xxmmnnθt()mnρρ,,111+tΦt()mnPP,,11ελθ11−−+Φ−∂∂=CEUkCX23ε≤≥0X1−C0∂∂vUYδλ11−−+Φ+Ψ∂∂=TeUlTY24δ≤≥0Y1−T()nmmyy,,1YnmynΨt1+t[]ba≤≥0[]0,0,0=≥≥abba6Φt∂∂eUθfkEUff1−∂∂x00y∑25WXmff==1W1232425fmΦ+Ψ=Φ−∂∂−=−∑λλlTEUkCmfffff11126λλθlTCeUlTkCmfffmffff11111−==−−+Ψ∂∂−=∑∑Φ2727tt1+7