pricing kernel→定价核

Please see John Cochrane's asset pricing theory

是一种资产定价的模型。在capm的基础上加入以消费为基础的效用方程。（a consumption-based utility framework）

上贴解释楼主的“pricing kernel”.[

Pt=Et[Mt+1Xt+1]  -----(1) ,
Pt: pricing kernel
Mt+1: marginal utility. .Xt+1: expected payoff
a high pricing kernel means low utility, which signals a bad state.   

back to formular (1)
divide both sides by Pt , 1=Et[Mt+1Xt+1] /Pt  
=Et[Mt+1Xt+1/Pt]
=Et[M+1Rt+1]
Rt+1: gross return
Problem 2 solved