Asset Pricing Theory (eBook)

Costis Skiadas (Autor)

eBook Download: EPUB

2009
368 Seiten
Princeton University Press (Verlag)
978-1-4008-3014-5 (ISBN)

Infos

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

Autor

Costis Skiadas is the Harold L. Stuart Professor of Finance at Northwestern University's Kellogg School of Management.

Produkt-Details

• Erscheint lt. Verlag: 9.2.2009
• Reihe/Serie: Princeton Series in Finance
• Reihe/Serie: Princeton Series in Finance
• Zusatzinfo: 12 line illus.
• Verlagsort: Princeton
• Sprache: englisch
• Themenwelt: Recht / Steuern ► Wirtschaftsrecht
• Themenwelt: Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
• Themenwelt: Wirtschaft ► Volkswirtschaftslehre ► Ökonometrie
• Schlagworte: adapted process • Affine space • affine transformation • Ambiguity Aversion • Arbitrage • arbitrage pricing theory • bellman equation • Binomial Distribution • Brownian motion • Calculation • Capital Asset Pricing Model • Cash Flow • Cauchy–Schwarz inequality • coefficient • Competitive equilibrium • Computation • concave function • conditional expectation • Conditional probability distribution • continuous function • Continuous function (set theory) • convex set • corollary • Covariance • Covariance matrix • Diagram (category theory) • Differentiable function • Dimension (vector space) • Directional derivative • Discrete time and continuous time • dividend • Economic equilibrium • economist • Equation • existential quantification • expected value • Exponential utility • Factor Analysis • Finance • Forward contract • Forward price • Gramian matrix • Identity matrix • income • Independence (probability theory) • Infimum and supremum • Law of one Price • Likelihood Function • Linear combination • Linear Function • Linearity • Linear subspace • Markov process • Martingale (probability theory) • Mathematical Optimization • Modern Portfolio Theory • Monotonic Function • Natural number • Normal distribution • Orthogonal basis • orthogonality • Orthonormal basis • Parameter • Pareto Efficiency • Portfolio Weight • predictable process • Preference (economics) • Present Value • Pricing • Probability • probability measure • Probability space • Probability Theory • Projection (linear algebra) • Quantity • Random Variable • remainder • Representative Agent • Requirement • Risk Aversion • Risk Premium • scale invariance • scientific notation • Sharpe Ratio • Special case • standard deviation • Stochastic Calculus • Stochastic process • Subset • Terminal value (finance) • Theorem • theory • time preference • Trading Strategy • Uncertainty • Unit of account • Utility • Value (economics) • Variance • Wealth
• ISBN-10: 1-4008-3014-1 / 1400830141
• ISBN-13: 978-1-4008-3014-5 / 9781400830145