最近金融学的发展史

Maynard Keynes (1923, 1930) and John Hicks (1939) argued that the price of a futures contract for delivery of a commodity will be generally below the expected spot price of that commodity (what Keynes called "normal backwardation"). This, Keynes and Hicks argued, was largely because hedgers shifted their price risk onto speculators in return for a risk premium. Nicholas Kaldor (1939) went on to analyze the question of whether speculation was successful in stabilizing prices and, in so doing, expanded Keynes's theory of liquidity preference considerably. (In later years, Holbrook Working (1953, 1962) would dispute this, arguing that there was, in fact, no difference between the motivations of hedgers and speculators. This led to an early empirical race -- Hendrik Houthakker (1957, 1961, 1968, 1969) finding evidence in favor of normal backwardation and Lester Telser (1958, 1981) finding evidence against it.)

John Burr Williams (1938) was among the first to challenge the "casino" view economists held of financial markets and questions of asset

pricing. He argued that asset prices of financial assets reflected the "intrinsic value" of an asset, which can be measured by the discounted stream of future expected dividends from the asset. This

"fundamentalist" notion fit well with Irving Fisher's (1907, 1930) theory, and the "value-investing" approach of practitioners such as Benjamin Graham.

Harry Markowitz (1952, 1959) realized that as the "fundamentalist" notion relied on expectations of the future, then the element of risk must come into play and thus profitable use could be made of the newly developed expected utility theory of John von Neumann and Oskar Morgenstern

(1944). Markowitz formulated the theory of optimal portfolio selection in the context of trade-offs between risk and return, focusing on the idea of portfolio diversification as a method of reducing risk -- and thus began what has become known as "Modern Portfolio Theory" or simply MPT.

As noted, the idea of an optimal portfolio allocation had already been considered by Keynes, Hicks and Kaldor in their theories of money, and thus it was a logical step for James Tobin (1958) to add money to Markowitz's story and thus obtain the famous "two-fund separation theorem". Effectively, Tobin argued that agents would diversify their savings between a risk-free asset (money) and a single portfolio of risky assets (which would be the same for everyone). Different attitudes towards risk, Tobin contended, would merely result in different combinations of money and that unique portfolio of risky assets.