August 2022
Intermediate to advanced
394 pages
12h 32m
Chinese
Content preview from 金融人工智能：用Python实现AI量化交易
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规范性金融理论
｜
53
套利定价
如前面的例子所示，套利定价理论［如
资产定价基本定理
（
FT
AP
）］被认为
是具有最稳健数学结果的最强大的金融理论之一。
4
除其他原因外，这是由于
期权的价格可以从其他可观察的市场参数（比如，期权标的股票的价格）中
得出。从这个意义上说，套利定价并不关心如何先提出一个公允的股价，而
只是把它作为一种输入。因此，套利定价在很少且较宽松的假设（比如
不存
在套利假设
）下就已经能起作用了，这是许多其他金融理论所不能做到的。
注意，甚至无须使用概率测度就可以推导出套利价格。
3.2
预期效用理论
预期效用理论（
EUT
）是金融理论的基石。自
20
世纪
40
年代提出以来，
EUT
一直是不确
定性决策建模的核心范式之一。
5
基本上每一本关于金融理论和投资理论的入门教科书中都
有对
EUT
的描述。原因之一是，
金融领域的其他核心结果都可以从
EUT
范式中衍生出来。
3.2.1
假设和结论
EUT
是一种公理化理论，可以追溯到
von Neumann
和
Morgenstern
（
1944
）的开创性工作。
这里的
公理化
意味着理论的主要结果只能从少量公理中推导出来。有关公理效用理论、不
同变体和应用的综述，请参阅
Fishburn
（
1968
）。
1.
公理和规范性理论
在
W
olfram MathWorld
上，可以找到公理的以下定义：公理是一个不证自明的真理性命题。
当面对不确定性下的选择时，
EUT
通常建立在很少的关于经济主体
偏好
的主要公理之上。
尽管与公理的定义并不完全一致，但并非全部的公理都被所有的经济学家认为是“不证自
明的真理” ...
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I'm always learning. So when I got on to O'Reilly, I was like a kid in a candy store. There are playlists. There are answers. There's on-demand training. It's worth its weight in gold, in terms of what it allows me to do.