关键词: 奈特不确定性, 资产及其组合, 惰性区间, 等级参数, 容度期望效用, 对偶测度

Abstract: Uncertainty is the basic characteristic of security market, and is the main content of asset pricing and investor's trading behavior. The standard expected utility theory shows that an investor has the unique striking price, the market price above which, she is willing to sell; conversely, she is willing to buy. However, due to the existing of uncertainty, asset's equilibrium price or trading price is not a certain value, but is an interval; an investor has no trading behavior within the interval, which is defined as asset's inertia interval. Assuming that the investor is Knight uncertainty aversion, a grade parameter is introduced to measure the degree of Knight uncertainty and the inertia interval of asset and its' portfolio is studied based on the capacity of the feasible region. Based on the model of capacity expected utility(CEU), the preference expression of investor's decision behavior under Knight uncertainty is given by using the capacity instead of the probability measure. Based on the conjugate measure, the inertia interval of asset trading is constructed and the relationship between the degree of Knight uncertainty and the inertia interval is analyzed. At last, based on the model of Black-Scholes option pricing, Jiangtong and Changhong call warrants are selected as the research objects, whose date range is from October 2008 to August 2011, and an empirical study is done based on the daily return of its' underlying asset and different proportion portfolio. Results show that, with the increasing (decreasing) of the degree of Knight uncertainty, the inertia interval of asset and its portfolio expands (shrinks), which results in the declining (rising) of the market liquidity; with the increasing of the degree of Knight uncertainty, the changing of inertia interval is more obvious for the asset and its' portfolio with high price and high volatility; within the moderate rang of Knightian uncertainty, the trading is relatively active for the asset and its' portfolio with high volatility. In the study the puzzles of "non-market participation" and "the idiosyncratic volatility" in the security market are explained, the characteristic of "limited market participation" in the security market is demonstrated, and evidence is provided for the study on the relationship between asset pricing and market liquidity.

Key words: Knight uncertainty, asset and its' portfolio, inertia interval, grade parameter, capacity expected utility, conjugate measure