Dynamic choice and asset markets:
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
San Diego, Calif. [u.a.]
Academic Press
1994
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XIII, 374 S. |
| ISBN: | 0120554550 |
Staff View
MARC
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| 100 | 1 | |a Altuğ, Sumru |d 1951- |e Verfasser |0 (DE-588)129220140 |4 aut | |
| 245 | 1 | 0 | |a Dynamic choice and asset markets |c Sumru Altuğ ; Pamela Labadie |
| 264 | 1 | |a San Diego, Calif. [u.a.] |b Academic Press |c 1994 | |
| 300 | |a XIII, 374 S. | ||
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| 650 | 7 | |a Beleggingen |2 gtt | |
| 650 | 7 | |a Goederenmarkten |2 gtt | |
| 650 | 7 | |a Investimentos |2 larpcal | |
| 650 | 7 | |a Prijsvorming |2 gtt | |
| 650 | 7 | |a Wiskundige modellen |2 gtt | |
| 650 | 4 | |a Mathematisches Modell | |
| 650 | 4 | |a Capital assets pricing model | |
| 650 | 4 | |a Investments |x Mathematical models | |
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Record in the Search Index
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|---|---|
| adam_text | Contents
Preface xi
1 Introduction 1
1. Equilibrium: Some Introductory Concepts 2
1.1. Complete Contingent Claims Equilibrium 2
1.2. Security Market Equilibrium 5
1.3. Arbitrage and Asset Valuation 8
1.4. Asset Pricing Relations 10
1.5. Complete Markets and the Composite Consumer . 12
1.6. CAPM and APT 14
2. Risk Aversion 16
2.1. Measures of Risk Aversion 16
2.2. Measures of Increasing Risk 19
3. Aggregation 22
4. Risk Sharing 26
5. Dynamic Programming 29
5.1. A Consumption and Savings Problem 29
5.2. Mathematical Preliminaries ,32
5.3. Optimal Consumption and Savings Choices 36
6. Exercises 37
2 Consumption and Asset Pricing 41
1. A Basic Asset Pricing Model 41
1.1. Discount Bonds and the Yield Curve 51
1.2. Pricing Derivative Instruments 55
1.3. Pricing Contingent Claims Contracts 57
1.4. Portfolio Separation 60
1.5. A Growing Economy 62
2. Extensions of the Basic Model 66
2.1. Habit Persistence and Consumption Durability . . . 66
2.2. Pricing Durable Consumption Goods 68
2.3. The Nonexpected Utility Hypothesis 72
3. Solving Asset Pricing Models 76
vii
viii Contents
4. Exercises 81
3 Tests of Asset Pricing Relations 87
1. Euler Equation Based Tests 88
1.1. Stochastic Processes: Basic Concepts 90
1.2. Estimation Method 93
1.3. Empirical Evidence 99
2. Volatility Bounds for MRSs 109
3. Variance Bounds Tests 115
3.1. The Present Value Model 115
3.2. Criticisms of Variance Bounds Tests 119
3.3. New Developments 121
4. Conditional Volatility and Nonlinearity in Asset Prices . . 125
4.1. Variants of ARCH 126
4.2. Testing for Nonlinearities 130
5. Bootstrapping 134
5.1. Stock Returns and Technical Trading Rules . . . .135
6. Exercises 139
4 Models with Production and Capital Accumulation 143
1. The One Sector Optimal Growth Model . 144
1.1. Optimal Policy Functions 144
1.2. The Growth Model and the Data 149
2. Asset Pricing with Production . 158
3. Financial Structure, Taxes and Investment 165
3.1. Financial Structure of a Firm 165
3.2. Taxes and Capital Accumulation 175
3.3. The Q theory of Investment 179
4. Dynamic Discrete Choice 185
4.1. A Search Model 186
4.2. A Matching Model 189
4.3. A Model of Replacement Investment 199
5. Exercises 204
5 Inflation and Asset Returns 209
1. The Basic Cash in Advance Model 209
1.1. Velocity and Interest Rates 218
1.2. Inflation Risk and the Inflation Premium 219
2. Variants of Cash in Advance Models 223
2.1. The Cash Credit Model 224
2.2. A Model with a Consumption Leisure Choice . . . 228
Contents ix
2.3. Liquidity Effects and Asset Prices 236
3. Timing of Information 242
4. Exercises 245
6 International Asset Markets 249
1. A Two Country Model 250
1.1. The Terms of Trade and the Exchange Rate .... 256
1.2. Pricing Alternative Assets 260
2. Variants of the Basic Model 265
2.1. Nontraded Goods 265
2.2. Exchange Rates #nd International Capital Flows . . 270
3. The Empirical Behavior of Foreign Exchange Markets . . . 278
3.1. Regression Based Tests 279
3.2. Models of Risk Premia 284
3.3. Risk Premia or Expectational Errors? 286
3.4. Modeling Short Term Changes in Exchange Rates . 288
4. Exercises 291
7 Asset Markets with Heterogeneous Populations 295
1. Equilibrium Models for Panel Data 296
1.1. Applications 296
1.2. A Factor Structure 304
1.3. Tests of Risk Sharing 310
1.4. Extensions 314
2. Models with Private Information 316
2.1. The Principal Agent Problem 318
2.2. Moral Hazard and Managerial Compensation .... 324
3. Exercises 333
References 339
Index 369
|
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| indexdate | 2024-07-09T17:47:30Z |
| institution | BVB |
| isbn | 0120554550 |
| language | English |
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| physical | XIII, 374 S. |
| publishDate | 1994 |
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| spelling | Altuğ, Sumru 1951- Verfasser (DE-588)129220140 aut Dynamic choice and asset markets Sumru Altuğ ; Pamela Labadie San Diego, Calif. [u.a.] Academic Press 1994 XIII, 374 S. txt rdacontent n rdamedia nc rdacarrier Beleggingen gtt Goederenmarkten gtt Investimentos larpcal Prijsvorming gtt Wiskundige modellen gtt Mathematisches Modell Capital assets pricing model Investments Mathematical models Kreditmarkt (DE-588)4073788-3 gnd rswk-swf Arbitrage-Pricing-Theorie (DE-588)4112584-8 gnd rswk-swf Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd rswk-swf Gleichgewichtsmodell (DE-588)4125214-7 gnd rswk-swf Entscheidung bei Unsicherheit (DE-588)4070864-0 gnd rswk-swf Capital-Asset-Pricing-Modell (DE-588)4121078-5 s DE-604 Arbitrage-Pricing-Theorie (DE-588)4112584-8 s Kreditmarkt (DE-588)4073788-3 s Entscheidung bei Unsicherheit (DE-588)4070864-0 s Gleichgewichtsmodell (DE-588)4125214-7 s Labadie, Pamela Verfasser aut HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=006747224&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Altuğ, Sumru 1951- Labadie, Pamela Dynamic choice and asset markets Beleggingen gtt Goederenmarkten gtt Investimentos larpcal Prijsvorming gtt Wiskundige modellen gtt Mathematisches Modell Capital assets pricing model Investments Mathematical models Kreditmarkt (DE-588)4073788-3 gnd Arbitrage-Pricing-Theorie (DE-588)4112584-8 gnd Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd Gleichgewichtsmodell (DE-588)4125214-7 gnd Entscheidung bei Unsicherheit (DE-588)4070864-0 gnd |
| subject_GND | (DE-588)4073788-3 (DE-588)4112584-8 (DE-588)4121078-5 (DE-588)4125214-7 (DE-588)4070864-0 |
| title | Dynamic choice and asset markets |
| title_auth | Dynamic choice and asset markets |
| title_exact_search | Dynamic choice and asset markets |
| title_full | Dynamic choice and asset markets Sumru Altuğ ; Pamela Labadie |
| title_fullStr | Dynamic choice and asset markets Sumru Altuğ ; Pamela Labadie |
| title_full_unstemmed | Dynamic choice and asset markets Sumru Altuğ ; Pamela Labadie |
| title_short | Dynamic choice and asset markets |
| title_sort | dynamic choice and asset markets |
| topic | Beleggingen gtt Goederenmarkten gtt Investimentos larpcal Prijsvorming gtt Wiskundige modellen gtt Mathematisches Modell Capital assets pricing model Investments Mathematical models Kreditmarkt (DE-588)4073788-3 gnd Arbitrage-Pricing-Theorie (DE-588)4112584-8 gnd Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd Gleichgewichtsmodell (DE-588)4125214-7 gnd Entscheidung bei Unsicherheit (DE-588)4070864-0 gnd |
| topic_facet | Beleggingen Goederenmarkten Investimentos Prijsvorming Wiskundige modellen Mathematisches Modell Capital assets pricing model Investments Mathematical models Kreditmarkt Arbitrage-Pricing-Theorie Capital-Asset-Pricing-Modell Gleichgewichtsmodell Entscheidung bei Unsicherheit |
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