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\n

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\u3000\u3000\u8bc1\u5238\u5e02\u573a\u7684\u4e09\u4e2a\u57fa\u672c\u7279\u5f81\u6307\u51fa\u4e86\u4ef7\u503c\u6295\u8d44 \u6700\u91cd\u8981\u7684\u4e24\u4e2a\u6982\u5ff5\uff1a\u5185\u5728\u4ef7\u503c\uff08Intrinsic Value\uff09\u4e0e\u5b89\u5168\u8fb9\u9645\uff08Margin of Safety\uff09\u3002\u4ef7\u503c\u6295\u8d44\u7406\u8bba\u7684\u6838\u5fc3\u5c31\u662f\u5bf9\u4e0a\u5e02\u516c\u53f8\u5185\u5728\u4ef7\u503c\u7684\u8bc4\u4f30\u3002\u6240\u8c13\u5185\u5728\u4ef7\u503c\uff0c\u5c31\u662f\u4e0a\u5e02\u516c\u53f8\u7684\u8d44\u4ea7\u3001\u6536\u76ca\u3001\u80a1\u5229\u3001\u672a\u6765\u524d\u666f\u4ee5\u53ca\u7ba1\u7406\u72b6\u51b5\u7b49\u56e0\u7d20\u6240\u51b3\u5b9a\u7684\u80a1\u7968\u4ef7\u503c\uff0c\u662f\u672a\u6765\u4e0a\u5e02\u516c\u53f8\u6240\u62e5\u6709\u6240\u6709\u73b0\u91d1\u6d41\u7684\u6298\u73b0\u503c\u3002<\/p>\n<\/blockquote>\n

\n

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     <\/p>\n

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\u3000\u3000Constantinides\uff081986\uff09\u5229\u7528\u51e0\u4e4e\u540c\u6837\u7684\u5206\u6790\u6846\u67b6\u6307\u51fa\uff0c\u4ea4\u6613\u6210\u672c\u5bf9\u5f15\u81f4\u6548\u7528\u7684\u5f71\u54cd\u662f\u5f88\u5c0f\u7684 \uff08second order\uff09\uff0c\u4ea4\u6613\u6210\u672c\u7684\u5b58\u5728\u4f1a\u5f71\u54cd\u6295\u8d44\u8005\u5728\u6301\u6709\u671f\u5185\u7684\u4ea4\u6613\u603b\u91cf\uff0c\u4f46\u662f\u6295\u8d44\u8005\u901a\u8fc7\u51cf\u5c11\u4ea4\u6613\u6b21\u6570\u6765\u964d\u4f4e\u4ea4\u6613\u6210\u672c\u3002\u56e0\u6b64\uff0c\u4ea4\u6613\u6210\u672c\u6240\u9700\u8981\u7684\u6d41\u52a8\u6027\u6ea2\u4ef7\u5e76\u4e0d\u5927\u3002<\/p>\n

\u3000\u3000Longstaff\uff081995a\uff0c1995b\uff09\u7528\u671f\u6743\u5b9a\u4ef7\u7684\u65b9\u6cd5\u7ed9\u51fa\u4e86\u6d41\u901a\u6743\u4ef7\u503c\u7684\u65e0\u5957\u5229\u4e0a\u754c\u3002\u4f5c\u8005\u8003\u5bdf\u4e86\u53ef\u4ea4\u6613\u6027\u5bf9\u8bc1\u5238\u4ef7\u503c\u7684\u5f71\u54cd\uff0c\u901a\u8fc7\u754c\u5b9a\u9690\u542b\u5728\u6d41\u52a8\u6027\u4e2d\u7684\u671f\u6743\u6765\u5bf9\u53ef\u4ea4\u6613\u6027\u5b9a\u4ef7\uff0c\u5e76\u7ed9\u51fa\u4e86\u6298\u4ef7\u7387\u7684\u4e0a\u9650\uff1a<\/p>\n

\u3000\u3000F\/V=f\uff08\u03b42\uff0ct\uff09<\/p>\n

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\u3000\u3000Kahl\uff0cLiu\u548cLongstaff\uff082003\uff09\u5bf9\u6b64\u95ee\u9898\u4f5c\u4e86\u66f4\u8fdb\u4e00\u6b65\u7684\u5206\u6790\uff0c\u5206\u6790\u4ecd\u7136\u5728Merton\u7684\u6846\u67b6\u5185\u8fdb\u884c\u3002\u6d41\u52a8\u6027\u7ea6\u675f\u5f15\u81f4\u7684\u6210\u672c\u901a\u8fc7\u6bd4\u8f83\u7ea6\u675f\u6761\u4ef6\u4e0b\u7684\u5f15\u81f4\u6548\u7528\uff08derived utility\uff09\u548c\u65e0\u7ea6\u675f\u60c5\u5f62\u4e2d\u7684\u5f15\u81f4\u6548\u7528\u6765\u5f97\u5230\u3002\u5f53\u03b3=2\uff0c\u03b4=0.3\u65f6\uff0c\u5982\u679c\u9650\u5236\u671f\u4e3a1\u5e74\uff0c\u90a3\u4e48\u80a1\u7968\u5bf9\u6301\u6709\u4eba\u7684\u4ef7\u503c\u53ea\u76f8\u5f53\u4e8e\u5176\u5728\u6ca1\u6709\u4ea4\u6613\u7ea6\u675f\u72b6\u6001\u4e0b\u7684\u4ef7\u503c\u768495.4%;\u5f53\u9650\u5236\u671f\u5ef6\u957f\u52305\u5e74\u65f6\uff0c\u8fd9\u4e2a\u6bd4\u4f8b\u5c31\u4e0b\u964d\u523071.9%.\u8fd9\u8868\u660e\uff0c\u9650\u5236\u671f\u8d8a\u957f\uff0c\u975e\u6d41\u52a8\u80a1\u4ef7\u503c\u8d8a\u4f4e\uff0c\u53cd\u8fc7\u6765\u5c31\u662f\u6d41\u901a\u6743\u4ef7\u503c\u8d8a\u9ad8\u3002\u8fd9\u91cc\u5f97\u5230\u7684\u6d41\u901a\u6743\u4ef7\u503c\u662f\u4e00\u4e2a\u7406\u8bba\u4e0a\u66f4\u52a0\u7cbe\u786e\u7684\u5ea6\u91cf\uff0c\u56e0\u6b64\uff0c\u5c0f\u4e8eLongstaff\uff081995a\uff09\u7ed9\u51fa\u7684\u4ef7\u503c\u4e0a\u9650\u3002\u4f46\u662f Longstaff\uff081995b\uff09\u6307\u51fa\u7406\u8bba\u4e0a\u9650\u5f80\u5f80\u5c0f\u4e8e\u73b0\u5b9e\u4e2d\u7684\u6d41\u901a\u6743\u6298\u4ef7\u6c34\u5e73\uff0c\u56e0\u6b64\uff0c\u6295\u8d44\u8005\u7684\u5fc3\u7406\u7b49\u56e0\u7d20\u53ef\u80fd\u4f1a\u5938\u5927\u6d41\u901a\u6743\u4ef7\u503c\uff0c\u76f8\u5173\u7684\u8ba8\u8bba\u5df2\u7ecf\u8d85\u51fa\u4e86\u672c\u6587\u7684\u8303\u56f4\u3002<\/p>\n

\uff08\u80a1\u7968\u8d44\u6e90\u9986lixiangluntan.com\uff09<\/p>\n

\n

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\n

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