Finance and the economics of uncertainty:
Gespeichert in:
Hauptverfasser: | , |
---|---|
Format: | Buch |
Sprache: | English French |
Veröffentlicht: |
Malden, Mass. [u.a.]
Blackwell Publ.
2006
|
Ausgabe: | 1. publ. |
Schlagworte: | |
Online-Zugang: | Table of contents Inhaltsverzeichnis Klappentext |
Beschreibung: | XI, 281 S. graph. Darst. |
ISBN: | 9781405121385 1405121386 9781405121392 1405121394 |
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Datensatz im Suchindex
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---|---|
adam_text | Contents
List of main symbols
χ
Introduction
1
Part
1
Valuation by Arbitrage
7
lanciai
instruments: an introduction
Money, Bond, and Stock Markets
9
10
1.1
Money Markets
10
1.2
Bonds
10
1.3
The Spot Curve
13
1.4
Stocks
15
Derivatives Markets
16
2.1
Futures Markets for Commodities and Currencies
17
2.2
Futures Markets for Financial Instruments
21
2.3
Options
25
Bibliographical Note
27
Exercises
27
»itrage
28
Static Arbitrage
29
1.1
States of Nature
29
1.2
Securities
29
1.3
Absence of Arbitrage Opportunities and Valuation
32
1.4
Complete Markets
36
1.5
Risk-Adjusted Probability
38
Intertemporal
Arbitrage
39
2.1
Time Structure
39
2.2
Instantaneous Arbitrage
40
2.3
Dynamic Arbitrage
41
Contents
2.4
Probabilistic
Formulation:
Risk-Adjusted Probability
50
Bibliographical Note
52
Exercises
52
Part
2
Exchanging Risk
57
1
The Model with Certainty
59
1.1
Individual Demand for Savings
59
1.2
Equilibrium, Optimum
63
2
Introducing Uncertainty
65
Bibliographical Note
66
3
Investors and their information
69
1
Choice Criteria
70
1.1 Von
Neumann
Morgenstern
Utility and Risk Aversion
71
1.2
Standard
von
Neumann
Morgenstern
Utility Functions
73
2
The Investor s Choice
74
2.1
Markets and Budget Constraints
74
2.2
The Demand for One Risky Security and Risk Aversion
77
3
Subjective Expectations and Opportunities for Arbitrage
81
4
Convergence of Expectations: Bayesian Learning
84
5
The Value
ofinformation
87
Bibliographical Note
91
Exercises
92
4
Portfolio choice
94
1
Mean-Variance Efficient Portfolios
95
1.1
Portfolio Composition and Returns
96
1.2
Diversification
98
1.3
The Efficiency
Frontierin
the Absence of a Riskless Security
99
1.4
Efficient Portfolios: The Case with a Risk-Free Security
101
2
Portfolio Choice under the
von
Neumann
Morgenstern
Criterion
103
3
Finance Paradigms: Quadratic and
CARA
Normal
105
3.1
Hedging Portfolios
107
3.2
The Demand for Risky Securities
108
Bibliographical Note
110
Exercises
110
5
Optimal risk sharing and insurance
114
1
The Optimal Allocation of Risk
115
1.1
The Model
115
Contents
1.2
Insuring Individual Idiosyncratic Bisks
116
1.3
Optimality: Characterization
118
2
Decentralization
122
2.1
Complete Markets
122
2.2
State Prices, Objective Probability, and Aggregate Wealth
124
2.3
The Role of Options
124
3
Market Failures
128
Bibliographical Note
130
Exercises
131
6
Equilibrium on the stock exchange and risk sharing
135
1
The Amounts at Stake
136
2
The Stock Exchange
137
2.1
The Securities
138
2.2
Investors
138
2.3
Equilibrium
139
3
The CAPM
140
3.1
Returns
141
3.2
Equilibrium Prices
143
4
The General Equilibrium Model and Price Determination
144
4.1
Prices of Risky Securities
145
4.2
The Allocation of Risks
147
4.3
Determination of the Interest Rate
148
Bibliographical Note
150
Exercises
151
7
Trade and information
156
1
Short-Term Equilibrium
157
1.1
Investors
158
1.2
Equilibrium
159
2
Public Information and Markets
162
2.1
Ex ante Complete Markets and Public Information in an Exchange
Economy
163
2.2
The Impact
ofinformation:
Production and Incomplete Markets
166
3
Private Information
170
3.1
Equilibrium with
Naïve
Traders
170
3.2
Private Information and Rational Expectations
172
3.3
Revelation of Information by Prices
174
Contents
4 Information: The Normal Model 176
4.1 Rational
Expectations and the Aggregation of
Information 177
4.2
Noise and the
Transmission
ofinformation
by Prices
180
4.3 Insiders 182
5 Formation
of Expectations and
Investments 185
Bibliographical Note
188
Exercises
189
8
Inter temporal valuation
194
1
The Representative Agent Model
195
1.1
The Economy
195
1.2
The Spot Curve: A Review
196
2
Risk-Free Aggregate Resources
197
2.1
The Interest Rate Curve and Its Evolution
197
2.2
The Valuation of Risky Assets
199
3
Risky Future Resources
202
3.1
The Interest Rate Curve
202
3.2
Spot and Forward Curves: An Example
205
3.3
The Dynamics of Securities Prices
207
4
Empirical Verification
210
4.1
Isoelastic Utilities
210
4.2
Beyond the Representative Agent
212
5
Fundamental Value and Bubbles
214
Bibliographical Note
216
Exercises
217
Part
3
The Firm
219
9
Corporate finance and risk
227
1
A Simple Accounting Representation
228
1.1
Financial Backers
228
1.2
The Net Cash Proceeds
230
2
Intertemporal
Decisions without Uncertainty
231
2.1
The Accounting Framework
231
2.2
Value of the Firm
233
2.3
Stock Market Valuation
235
2.4
Limited Liability
238
2.5
Comments on the Leverage Effect
238
Contents
3 Financial
Structure
240
3.1
Complete
Markets
241
3.2
Incomplete Markets
244
3.3
Some Limitations
246
Bibliographical Note
246
Exercises
247
10
Financing investments and limited liability
249
1
The Choice Criteria for Investments
250
1.1
Complete Markets
250
1.2
Incomplete Markets
256
1.3
Multiplicative Risk
258
2
Investments, Equity Financing, and Insider Information
259
3
The Market for Credit
263
3.1
The Market without Dysfunction
263
3.2
Default Risk
265
3.3
Equilibrium
268
Bibliographical Note
273
Exercises
274
Index
279
Finance
and the Economics of Uncertainty
explores the growing range of economic
decisions that are conducted under uncertainty
both on the personal level
-
such as individual
savings, insurance, portfolio choices
-
as well
as by large firms, including insurance
companies and stock exchanges, that utilize
financial tools to facilitate the exchange of
risks.
Presenting the basic principles and discussing
them in a unified framework within elementary
models, this text analyzes the allocation of risk
in the context of the current literature, and
emphasizes the
raie
of information in decisions
and prices. Including end-of-chapter exercises,
this book provides students with a tool for
understanding the theoretical analysis of
decision-making under uncertainty, and its
applications to the world of economics and
finance.
GÁBRIELLÉ
DEMANGE
is Director at
EHESS
(Ecole des Hautes Etudes en Sciences Sociales)
and researcher at
PSE
(Paris-Jourdan Sciences
Economiques),
and is Co-Editor of the journal
Economic Theory.
GUY LAROQUE is Director of the
Macroeconomic Laboratory at INSEE-CREST
(Institut
National
de la Statistique et des
Etudes
Economiques-Centre de Recherche en
Economie et Statistique) as
well as
a former
Editor of Econometrica
(1992-1996).
|
any_adam_object | 1 |
author | Demange, Gabrielle Laroque, Guy |
author_GND | (DE-588)129870684 (DE-588)129187348 |
author_facet | Demange, Gabrielle Laroque, Guy |
author_role | aut aut |
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author_variant | g d gd g l gl |
building | Verbundindex |
bvnumber | BV019870603 |
callnumber-first | H - Social Science |
callnumber-label | HB615 |
callnumber-raw | HB615.D4613 2006 |
callnumber-search | HB615.D4613 2006 |
callnumber-sort | HB 3615 D4613 42006 |
callnumber-subject | HB - Economic Theory and Demography |
classification_rvk | QC 020 QK 600 QP 700 |
ctrlnum | (OCoLC)61151572 (DE-599)BVBBV019870603 |
dewey-full | 338.5 338.522 |
dewey-hundreds | 300 - Social sciences |
dewey-ones | 338 - Production |
dewey-raw | 338.5 338.5 22 |
dewey-search | 338.5 338.5 22 |
dewey-sort | 3338.5 |
dewey-tens | 330 - Economics |
discipline | Wirtschaftswissenschaften |
edition | 1. publ. |
format | Book |
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id | DE-604.BV019870603 |
illustrated | Illustrated |
indexdate | 2024-07-09T20:08:02Z |
institution | BVB |
isbn | 9781405121385 1405121386 9781405121392 1405121394 |
language | English French |
oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-013194911 |
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physical | XI, 281 S. graph. Darst. |
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publisher | Blackwell Publ. |
record_format | marc |
spelling | Demange, Gabrielle Verfasser (DE-588)129870684 aut Finance et économie de l'incertain Finance and the economics of uncertainty Gabrielle Demange and Guy Laroque 1. publ. Malden, Mass. [u.a.] Blackwell Publ. 2006 XI, 281 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Financieel management gtt Onzekerheid gtt Wiskundige modellen gtt Mathematisches Modell Uncertainty Finance Mathematical models Portfoliomanagement (DE-588)4115601-8 gnd rswk-swf Risikomanagement (DE-588)4121590-4 gnd rswk-swf Finanzierungstheorie (DE-588)4154418-3 gnd rswk-swf Entscheidung bei Unsicherheit (DE-588)4070864-0 gnd rswk-swf Finanzierung (DE-588)4017182-6 gnd rswk-swf Finanzierungstheorie (DE-588)4154418-3 s Entscheidung bei Unsicherheit (DE-588)4070864-0 s DE-604 Portfoliomanagement (DE-588)4115601-8 s Finanzierung (DE-588)4017182-6 s Risikomanagement (DE-588)4121590-4 s Laroque, Guy Verfasser (DE-588)129187348 aut http://www.loc.gov/catdir/toc/ecip0516/2005021158.html Table of contents Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=013194911&sequence=000003&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=013194911&sequence=000004&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA Klappentext |
spellingShingle | Demange, Gabrielle Laroque, Guy Finance and the economics of uncertainty Financieel management gtt Onzekerheid gtt Wiskundige modellen gtt Mathematisches Modell Uncertainty Finance Mathematical models Portfoliomanagement (DE-588)4115601-8 gnd Risikomanagement (DE-588)4121590-4 gnd Finanzierungstheorie (DE-588)4154418-3 gnd Entscheidung bei Unsicherheit (DE-588)4070864-0 gnd Finanzierung (DE-588)4017182-6 gnd |
subject_GND | (DE-588)4115601-8 (DE-588)4121590-4 (DE-588)4154418-3 (DE-588)4070864-0 (DE-588)4017182-6 |
title | Finance and the economics of uncertainty |
title_alt | Finance et économie de l'incertain |
title_auth | Finance and the economics of uncertainty |
title_exact_search | Finance and the economics of uncertainty |
title_full | Finance and the economics of uncertainty Gabrielle Demange and Guy Laroque |
title_fullStr | Finance and the economics of uncertainty Gabrielle Demange and Guy Laroque |
title_full_unstemmed | Finance and the economics of uncertainty Gabrielle Demange and Guy Laroque |
title_short | Finance and the economics of uncertainty |
title_sort | finance and the economics of uncertainty |
topic | Financieel management gtt Onzekerheid gtt Wiskundige modellen gtt Mathematisches Modell Uncertainty Finance Mathematical models Portfoliomanagement (DE-588)4115601-8 gnd Risikomanagement (DE-588)4121590-4 gnd Finanzierungstheorie (DE-588)4154418-3 gnd Entscheidung bei Unsicherheit (DE-588)4070864-0 gnd Finanzierung (DE-588)4017182-6 gnd |
topic_facet | Financieel management Onzekerheid Wiskundige modellen Mathematisches Modell Uncertainty Finance Mathematical models Portfoliomanagement Risikomanagement Finanzierungstheorie Entscheidung bei Unsicherheit Finanzierung |
url | http://www.loc.gov/catdir/toc/ecip0516/2005021158.html http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=013194911&sequence=000003&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=013194911&sequence=000004&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA |
work_keys_str_mv | AT demangegabrielle financeeteconomiedelincertain AT laroqueguy financeeteconomiedelincertain AT demangegabrielle financeandtheeconomicsofuncertainty AT laroqueguy financeandtheeconomicsofuncertainty |