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Asset Pricing Theory
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Sprache:
Englisch
Veröffentlicht/Copyright:
2009
Über dieses Buch
Asset Pricing Theory is an advanced textbook for doctoral students and researchers that offers a modern introduction to the theoretical and methodological foundations of competitive asset pricing. Costis Skiadas develops in depth the fundamentals of arbitrage pricing, mean-variance analysis, equilibrium pricing, and optimal consumption/portfolio choice in discrete settings, but with emphasis on geometric and martingale methods that facilitate an effortless transition to the more advanced continuous-time theory.
Among the book's many innovations are its use of recursive utility as the benchmark representation of dynamic preferences, and an associated theory of equilibrium pricing and optimal portfolio choice that goes beyond the existing literature.
Asset Pricing Theory is complete with extensive exercises at the end of every chapter and comprehensive mathematical appendixes, making this book a self-contained resource for graduate students and academic researchers, as well as mathematically sophisticated practitioners seeking a deeper understanding of concepts and methods on which practical models are built.
- Covers in depth the modern theoretical foundations of competitive asset pricing and consumption/portfolio choice
- Uses recursive utility as the benchmark preference representation in dynamic settings
- Sets the foundations for advanced modeling using geometric arguments and martingale methodology
- Features self-contained mathematical appendixes
- Includes extensive end-of-chapter exercises
Information zu Autoren / Herausgebern
Costis Skiadas is the Harold L. Stuart Professor of Finance at Northwestern University's Kellogg School of Management.
Rezensionen
"I am sure any ambitious student who has read it will be drawn into the field immediately. . . . I like the book very much and would recommend it for use in any serious asset pricing theory subject."---Qi Zeng, Economic Record
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"Costis Skiadas has hit a grand-slam with Asset Pricing Theory which fills a great void. It will speak to you in a well-designed, and thoughtful manner encouraging you to read a high-level and rigorous development of the subject regardless of your age, profession or position as economists, mathematicians, financial engineers, and physicists. I am adding it to my 'must read list' for my students and associates. I predict that Asset Pricing Theory will establish itself as a standard reference for many years to come, and this is the quality I admire--a quality that can only be born from experience. Read this book if you want to lead an organization, or lead the way."
Fachgebiete
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Frontmatter
i -
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Contents
vii -
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Preface
xi -
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Notation and Conventions
xv - PART ONE. SINGLE-PERIOD ANALYSIS
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CHAPTER ONE. Financial Market and Arbitrage
3 -
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CHAPTER TWO. Mean-Variance Analysis
29 -
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CHAPTER THREE. Optimality and Equilibrium
55 -
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CHAPTER FOUR. Risk Aversion
94 - PART TWO. DISCRETE DYNAMICS
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CHAPTER FIVE. Dynamic Arbitrage Pricing
135 -
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CHAPTER SIX. Dynamic Optimality and Equilibrium
195 - PART THREE. MATHEMATICAL BACKGROUND
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APPENDIX A. Optimization Principles
259 -
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APPENDIX B. Discrete Stochastic Analysis
285 -
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Bibliography
327 -
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Index
341
Informationen zur Veröffentlichung
Seiten und Bilder/Illustrationen im Buch
eBook veröffentlicht am:
17. Juni 2019
eBook ISBN:
9781400830145
Seiten und Bilder/Illustrationen im Buch
eBook ISBN:
9781400830145
Schlagwörter für dieses Buch
Random variable; Pricing; Cash flow; Probability; Mathematical optimization; Preference (economics); Theorem; Risk aversion; Calculation; Special case; Quantity; Wealth; Economic equilibrium; Probability theory; Variance; Corollary; Subset; Trading strategy; Monotonic function; Expected value; Existential quantification; Coefficient; Utility; Capital asset pricing model; Dimension (vector space); Present value; Independence (probability theory); Martingale (probability theory); Forward price; Finance; Differentiable function; Affine space; Linear subspace; Adapted process; Arbitrage; Sharpe ratio; Orthonormal basis; Scale invariance; Projection (linear algebra); Stochastic calculus; Convex set; Probability measure; Parameter; Arbitrage pricing theory; Competitive equilibrium; Standard deviation; Stochastic process; Forward contract; Computation; Discrete time and continuous time; Concave function; Uncertainty; Diagram (category theory); Law of one price; Brownian motion; Conditional expectation; Risk premium; Unit of account; Bellman equation; Markov process; Gramian matrix; Representative agent; Covariance matrix; Theory; Conditional probability distribution; Likelihood function; Terminal value (finance); Continuous function (set theory); Exponential utility; Affine transformation
Zielgruppe(n) für dieses Buch
For an expert adult audience, including professional development and academic research
