complete markets, which is equivalent to the unique existence of a risk-neutral measure. A single-period binomial-tree model …-free markets is a necessary condition for the legitimacy of risk-neutral pricing, and that a condition of complete markets is for … the uniqueness of a risk-neutral measure. The objective of this paper is to provide an intuitive interpretation of …

the abnormal returns and volatility changes of those component stocks. The empirical results show that, after the removal … volatility. To reduce the possible impact on volatility, the authorities may take the activity of margin transactions into …

English Abstract: Risk-neutral valuation is the foundation of modern derivative pricing theory. However, Chinese … textbooks do not clarify the fact that no-arbitrage conditions implies the existence of risk-neutral probability. This paper … demonstrates the core of the risk-neutral valuation - the fundamental theorem of asset pricing. Although there has been mature …

mistake that the return of market portfolio is assumed to be exogenous, the risk-return characteristics is a concept from the …

English Abstract: The risk dogma believes that asset price is determined by a certain risk, while equilibrium pricing … time series betas and market betas, and that the risk dogma deviates from the wholeness thinking of equilibrium pricing and … beta, we reveal situations that contradict the risk dogma, such as when the beta changes but the expected rate of return …