Financial markets theory: equilibrium, efficiency and information
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
London u.a.
Springer
2003
|
| Series: | Springer finance
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| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XII, 467 S. graph. Darst. |
| ISBN: | 185233469X |
Staff View
MARC
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| 100 | 1 | |a Barucci, Emilio |d 1968- |e Verfasser |0 (DE-588)170602761 |4 aut | |
| 245 | 1 | 0 | |a Financial markets theory |b equilibrium, efficiency and information |c Emilio Barucci |
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Record in the Search Index
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| adam_text | Contents
1 Prerequisites 1
1.1 Choices under Certainty 1
1.2 General Equilibrium Theory 4
1.3 Paxeto Optimality 8
2 Choices under Risk 13
2.1 Expected Utility Theory 16
2.2 Risk Aversion 19
2.3 Portfolio Problem 25
2.4 Insurance Demand and Prudence 34
2.5 Notes, References and Exercises 39
3 Stochastic Dominance, Mutual Funds Separation and
Portfolio Frontier 43
3.1 Stochastic Dominance 44
3.2 Mean Variance Analysis 48
3.3 Portfolio Frontier (risky assets) 50
3.4 Portfolio Frontier (risky assets and a risk free asset) 58
3.5 Mutual Funds Separation 65
3.6 Notes, References and Exercises 69
4 General Equilibrium Theory and Risk Exchange 71
4.1 Risk Sharing and Paxeto Optimality 74
4.2 Asset Markets 80
4.3 Intertemporal Consumption 88
4.4 The Fundamental Asset Pricing Theorem I 96
4.5 Notes, References and Exercises 106
5 Risk Premium: Capital Asset Pricing Model and Asset
Pricing Theory Ill
5.1 Capital Asset Pricing Model (CAPM) 112
5.2 Empirical Tests of the CAPM 120
5.3 Arbitrage Pricing Theory (APT) 130
5.4 Empirical Tests of the APT 137
5.5 Notes, References and Exercises 140
6 Multiperiod Market Models 143
6.1 Portfolio Choice, Consumption and Equilibrium 146
6.2 The Fundamental Asset Pricing Theorem II 160
6.3 Risk Premium and Factor Models 169
6.4 The No Arbitrage Fundamental Equation and Bubbles 174
6.5 Empirical Tests: Price Dividend Process 179
6.6 Empirical Tests: CCAPM, ICAPM and Risk Premium 206
xii Contents
6.7 Notes, References and Exercises 213
7 Information and Financial Markets 217
7.1 The Role of Information in Financial Markets 222
7.2 On the Possibility of Efficient Markets 228
7.3 On the Impossibility of Efficient Markets 235
7.4 Multiperiod Models 243
7.5 Empirical Analysis 247
7.6 Notes, References and Exercises 250
8 Uncertainty, Rationality and Heterogeneity 253
8.1 Uncertainty, Risk and Probability 254
8.2 On Expected Utility Theory 259
8.3 Heterogeneous Agents and Substantial Rationality 273
8.4 Bounded Rationality, Incomplete Information and Learning .. 287
8.5 Imperfect and Incomplete Markets 295
9 Financial Markets Microstructure 309
9.1 The Role of Information under non Perfect Competition 310
9.2 Order Driven Markets 314
9.3 Quote Driven Markets 320
9.4 Multiperiod Market Models 324
10 Corporate Finance 331
10.1 Modigliani Miller Theorem 334
10.2 Asymmetric Information 336
10.3 Agency Models 343
11 Intermediation and Regulation 357
11.1 Institutional Investors, Intermediation and Financial Markets 357
11.2 Market Design 371
11.3 Market Abuse: Insider Trading and Market Manipulation 383
References 391
Index 461
|
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| institution | BVB |
| isbn | 185233469X |
| language | English |
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| physical | XII, 467 S. graph. Darst. |
| publishDate | 2003 |
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| spelling | Barucci, Emilio 1968- Verfasser (DE-588)170602761 aut Financial markets theory equilibrium, efficiency and information Emilio Barucci London u.a. Springer 2003 XII, 467 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Springer finance Finanças (modelos matemáticos) larpcal Matemática aplicada larpcal Mercado de capitais larpcal Portfolio-theorie gtt Wiskundige modellen gtt Mathematisches Modell Capital market -- Mathematical models Equilibrium (Economics) -- Mathematical models Kapitalmarkttheorie (DE-588)4137411-3 gnd rswk-swf Kreditmarkt (DE-588)4073788-3 gnd rswk-swf Mathematisches Modell (DE-588)4114528-8 gnd rswk-swf Kreditmarkt (DE-588)4073788-3 s Mathematisches Modell (DE-588)4114528-8 s DE-604 Kapitalmarkttheorie (DE-588)4137411-3 s Überarbeitet als Second edition London : Springer, 2017 978-1-4471-7321-2 (DE-604)BV044468119 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010070230&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Barucci, Emilio 1968- Financial markets theory equilibrium, efficiency and information Finanças (modelos matemáticos) larpcal Matemática aplicada larpcal Mercado de capitais larpcal Portfolio-theorie gtt Wiskundige modellen gtt Mathematisches Modell Capital market -- Mathematical models Equilibrium (Economics) -- Mathematical models Kapitalmarkttheorie (DE-588)4137411-3 gnd Kreditmarkt (DE-588)4073788-3 gnd Mathematisches Modell (DE-588)4114528-8 gnd |
| subject_GND | (DE-588)4137411-3 (DE-588)4073788-3 (DE-588)4114528-8 |
| title | Financial markets theory equilibrium, efficiency and information |
| title_auth | Financial markets theory equilibrium, efficiency and information |
| title_exact_search | Financial markets theory equilibrium, efficiency and information |
| title_full | Financial markets theory equilibrium, efficiency and information Emilio Barucci |
| title_fullStr | Financial markets theory equilibrium, efficiency and information Emilio Barucci |
| title_full_unstemmed | Financial markets theory equilibrium, efficiency and information Emilio Barucci |
| title_short | Financial markets theory |
| title_sort | financial markets theory equilibrium efficiency and information |
| title_sub | equilibrium, efficiency and information |
| topic | Finanças (modelos matemáticos) larpcal Matemática aplicada larpcal Mercado de capitais larpcal Portfolio-theorie gtt Wiskundige modellen gtt Mathematisches Modell Capital market -- Mathematical models Equilibrium (Economics) -- Mathematical models Kapitalmarkttheorie (DE-588)4137411-3 gnd Kreditmarkt (DE-588)4073788-3 gnd Mathematisches Modell (DE-588)4114528-8 gnd |
| topic_facet | Finanças (modelos matemáticos) Matemática aplicada Mercado de capitais Portfolio-theorie Wiskundige modellen Mathematisches Modell Capital market -- Mathematical models Equilibrium (Economics) -- Mathematical models Kapitalmarkttheorie Kreditmarkt |
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