Assets Integration and Assets Pricing:Based on the Shapely Value Analysis

摘要

According to the research approach of Wlliamson-Grossman-Hart on Asset Integration,this essay advances the Asset Pricing to another theoretical model applicable to Idiosyncratic Asset Pricing,based on the shapely value analysis.Within the idea of Asset Integration,the priced asset contains two types of risks,i.e.Absolute Risk and Relative Risk Contribution.The Absolute Risk of priced asset implicates the characteristic of risk accumulation which is induced by asset integration,while because of satisfying the basic assumptions with sharply value,the Relative Risk Contribution could get the expected value of shapely risk by calculating the Relative Risk Contribution of priced asset under asset integration situation.Followed with the consumption expression format of general mean-variance for asset integration that is taking place under market-balance situation,we get the equilibrium solution of assets risk and its expected returns expressed in way of the expected value of shapely risk.