【摘 要】
：
探讨CAPM中风险资产市场组合的概率分布和均值估计问题.在股票价格行为模型用维纳过程(又称布朗运动)表述的前提下,证明了CAPM中的市场组合服从加法逻辑正态分布的结论,进而
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探讨CAPM中风险资产市场组合的概率分布和均值估计问题.在股票价格行为模型用维纳过程(又称布朗运动)表述的前提下,证明了CAPM中的市场组合服从加法逻辑正态分布的结论,进而给出了市场组合均值的3种估计.以此为基础进行CAPM的实证检验,才具有理论上的严密性.
To explore the probability distribution and mean estimation of risk asset market in CAPM, under the premise of the Wiener process (also known as Brownian motion) in the stock price behavior model, it is proved that the market composition in CAPM obeys the conclusion of the normal distribution of additive logic , And then gives three kinds of estimates of the market portfolio mean.According to the empirical test of CAPM, it has the theoretical rigor.
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