This book covers the classical results on single-period, discrete-time, and continuous-time models of portfolio choice and asset pricing. It also treats asymmetric information, production models, various proposed explanations for theequity premium puzzle, and topics important for behavioral finance. INDICE: Preface; I Single-Period Models; 1 Utility Functions and Risk Aversion Coefficients; 1.1 Uniqueness of Utility Functions; 1.2 Concavity and Risk Aversion; 1.3 Coefficients of Risk Aversion; 1.4 Risk Aversion and Risk Premia; 1.5 Constant Absolute Risk Aversion; 1.6 Constant Relative Risk Aversion; 1.7 Linear Risk Tolerance; 1.8 Conditioning and Aversion to Noise; 1.9 Notesand References; Exercises; 2 Portfolio Choice and Stochastic Discount Factors; 2.1 The First-Order Condition; 2.2 Stochastic Discount Factors; 2.3 A SingleRisky Asset; 2.4 Linear Risk Tolerance; 2.5 Multiple Asset CARA-Normal Example; 2.6 Mean-Variance Preferences; 2.7 Complete Markets; 2.8 Beginning-of-Period Consumption; 2.9 Time-Additive Utility; 2.10 Notes and References; Exercises; 3 Equilibrium and Efficiency; 3.1 Pareto Optima; 3.2 Social Planner's Problem; 3.3 Pareto Optima and Sharing Rules; 3.4 Competitive Equilibria; 3.5 Complete Markets; 3.6 Linear Risk Tolerance; 3.7 Beginning-of-Period Consumption 1; 3.8 Notes and References; Exercises; 4 Arbitrage and Stochastic Discount Factors; 4.1 Fundamental Theorem on Existence of SDF's; 4.2 Law of One Price and Stochastic Discount Factors; 4.3 Risk Neutral Probabilities; 4.4 Projecting SDF's onto the Asset Span; 4.5 Projecting onto a Constant and the Asset Span; 4.6 Hansen-Jagannathan Bound with a Risk-Free Asset; 4.7 Hansen-Jagannathan Bound with No Risk-Free Asset; 4.8 Hilbert Spaces and Gram-Schmidt Orthogonalization; 4.9 Notes and References Exercises; 5 Mean-Variance Analysis; 5.1 The Calculus Approach; 5.2 Two-Fund Spanning; 5.3 The Mean-Standard Deviation Trade-Off;5.4 GMV Portfolio and Mean-Variance Efficiency; 5.5 Calculus Approach with a Risk-Free Asset; 5.6 Two-Fund Spanning Again; 5.7 Orthogonal Projections and Frontier Returns; 5.8 Risk-Free Return Proxies; 5.9 Inefficiency of ~Rp; 5.10 Hansen-Jagannathan Bound with a Risk-Free Asset; 5.11 Frontier Returns and Stochastic Discount Factors; 5.12 Separating Distributions; 5.13 Notes and References; Exercises; 6 Beta Pricing Models; 6.1 Beta Pricing; 6.2 Single-Factor Models with Returns as Factors; 6.3 The Capital Asset Pricing Model; 6.4 Returns and Excess Returns as Factors; 6.5 Projecting Factors on Returns and Excess Returns; 6.6 Beta Pricing and Stochastic Discount Factors; 6.7 Arbitrage PricingTheory; 6.8 Notes and References; Exercises; 7 Representative Investors; 7.1 Pareto Optimality Implies a Representative Investor; 7.2 Linear Risk Tolerance; 7.3 Consumption-Based Asset Pricing; 7.4 Pricing Options; 7.5 Notes and References; Exercises; II Dynamic Models; 8 Dynamic Securities Markets; 8.1 The Portfolio Choice Problem; 8.2 Stochastic Discount Factor Processes; 8.3 Self-Financing Wealth Processes; 8.4 The Martingale Property; 8.5 Transversality Conditions and Ponzi Schemes; 8.6 The Euler Equation; 8.7 Arbitrage and the Law of One Price; 8.8 Risk Neutral Probabilities; 8.9 Complete Markets; 8.10 Portfolio Choice in Complete Markets; 8.11 Co
- ISBN: 978-0-19-538061-3
- Editorial: Oxford University
- Encuadernacion: Cartoné
- Páginas: 464
- Fecha Publicación: 30/09/2010
- Nº Volúmenes: 1
- Idioma: Inglés