資産価値の基本定理

最近マサチューセッツ工科大のコースの資料に目を通しています。The Fundamental Theorem of Asset Pricing seems to indicate that the expectation of discounted cash flows of an asset equals its current price. W(t+1) = SIGMA(i)(theta(i,t+1)*P(i,t+1)) = SIGMA(i)(theta(i,t+1)(P(i,t+1)+D(i,t+1)))は自己金融取引ルールです。This basically indicates that positive cash flows from the ith security in the portfolio, Di, correspond to a reduction in the holding of the security, thetai. The binomial tree example of FTAP is somewhat confusing, as the (1+r) factor is replaced by u in the up term and d in the down term. In addition, the pi(u)/pi(t) formulas are somewhat confusing, but in both cases simplify to 1/(1+r). Essentially, an abstract formalism about State Price Density (SPD) is used to derive discounted cash flows.