stochastic discount factor

基本解釋

This paper introduces the emergence and development of asset-pricing theory, and then focuses on the stochastic discount factor model (SDF) and the empirical study.
介紹了資產(chǎn)定價理論的產(chǎn)生和發(fā)展，主要分析了隨機折現(xiàn)因子模型（SDF）及其實證研究。
Through the stochastic discount factor model, it is easy to understand some classical problems of modern finance, such as arbitrage pricing theory and risk neutral pricing, etc.
現(xiàn)代金融學的許多經(jīng)典問題，如套利定價原理以及風險中性定價等都可以用隨機折現(xiàn)因子模型理解，隨機折現(xiàn)因子模型是資產(chǎn)定價模型的統(tǒng)一框架。