Theory of asset pricing:
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| Main Author: | |
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| Format: | Book |
| Language: | English |
| Published: |
Boston, Mass. [u.a.]
Pearson/Addison-Wesley
2008
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| Edition: | Pearson international edition |
| Series: | The Addison-Wesley series in finance
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis Inhaltsverzeichnis |
| Item Description: | Literaturverz. S. 415 - 431 |
| Physical Description: | XVII, 457 S. graph. Darst. |
| ISBN: | 032112720X 9780321127204 9780321495365 |
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| 245 | 1 | 0 | |a Theory of asset pricing |c George Pennacchi |
| 250 | |a Pearson international edition | ||
| 264 | 1 | |a Boston, Mass. [u.a.] |b Pearson/Addison-Wesley |c 2008 | |
| 300 | |a XVII, 457 S. |b graph. Darst. | ||
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Record in the Search Index
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| adam_text | Contents
Preface xv
part I Single Period Portfolio Choice
and Asset Pricing 1
1 Expected Utility and Risk Aversion 3
1.1 Preferences When Returns Are Uncertain 4
1.2 Risk Aversion and Risk Premia 11
1.3 Risk Aversion and Portfolio Choice 19
1.4 Summary 24
1.5 Exercises 25
2 Mean Variance Analysis 27
2.1 Assumptions on Preferences and Asset Returns 28
2.2 Investor Indifference Relations 31
2.3 The Efficient Frontier 34
2.3.1 A Simple Example 35
2.3.2 Mathematics of the Efficient Frontier 37
2.3.3 Portfolio Separation 40
2.4 The Efficient Frontier with a Riskless Asset 44
2.4.1 An Example with Negative Exponential Utility 48
2.5 An Application to Cross Hedging 50
2.6 Summary 53
2.7 Exercises 54
vii
Viii Contents
3 CAPM, Arbitrage, and Linear Factor Models 57
3.1 The Capital Asset Pricing Model 58
3.1.1 Characteristics of the Tangency Portfolio 59
3.1.2 Market Equilibrium 60
3.2 Arbitrage 66
3.2.1 Examples of Arbitrage Pricing 67
3.3 Linear Factor Models 70
3.4 Summary 76
3.5 Exercises 77
4 Consumption Savings Decisions and State Pricing 79
4.1 Consumption and Portfolio Choices 80
4.2 An Asset Pricing Interpretation 84
4.2.1 Real versus Nominal Returns 85
4.2.2 Risk Premia and the Marginal Utility of Consumption 86
4.2.3 The Relationship to CAPM 86
4.2.4 Bounds on Risk Premia 88
4.3 Market Completeness, Arbitrage, and State Pricing 91
4.3.1 Complete Markets Assumptions 92
4.3.2 Arbitrage and State Prices 93
4.3.3 Risk Neutral Probabilities 95
4.3.4 State Pricing Extensions 97
4.4 Summary 97
4.5 Exercises 98
part II Multiperiod Consumption,
Portfolio Choice, and Asset Pricing 101
5 A Multiperiod Discrete Time Model of Consumption
and Portfolio Choice 103
5.1 Assumptions and Notation of the Model 105
5.1.1 Preferences 105
5.1.2 The Dynamics of Wealth 106
5.2 Solving the Multiperiod Model 107
5.2.1 The Final Period Solution 108
Contents ix
5.2.2 Deriving the Bellman Equation 110
5.2.3 The General Solution 112
5.3 Example Using Log Utility 113
5.4 Summary 117
5.5 Exercises 118
6 Multiperiod Market Equilibrium 121
6.1 Asset Pricing in the Multiperiod Model 122
6.1.1 The Multiperiod Pricing Kernel 122
6.2 The Lucas Model of Asset Pricing 124
6.2.1 Including Dividends in Asset Returns 125
6.2.2 Equating Dividends to Consumption 127
6.2.3 Asset Pricing Examples 127
6.2.4 A Lucas Model with Labor Income 129
6.3 Rational Asset Price Bubbles 131
6.3.1 Examples of Bubble Solutions 133
6.3.2 The Likelihood of Rational Bubbles 133
6.4 Summary 135
6.5 Exercises 136
part III Contingent Claims Pricing 139
7 Basics of Derivative Pricing 141
7.1 Forward and Option Contracts 142
7.1.1 Forward Contracts on Assets Paying Dividends 142
7.1.2 Basic Characteristics of Option Prices 145
7.2 Binomial Option Pricing 149
7.2.1 Valuing a One Period Option 150
7.2.2 Valuing a Multiperiod Option 153
7.3 Binomial Model Applications 156
7.3.1 Calibrating the Model 157
7.3.2 Valuing an American Option 158
7.3.3 Options on Dividend Paying Assets 162
7.4 Summary 162
7.5 Exercises 163
X Contents
8 Essentials of Diffusion Processes and Ito s Lemma 165
8.1 Pure Brownian Motion 166
8.1.1 The Continuous Time Limit 167
8.2 Diffusion Processes 169
8.2.1 Definition of an ltd Integral 170
8.3 Functions of Continuous Time Processes and Ito s
Lemma 172
8.3.1 Geometric Brownian Motion 174
8.3.2 Kolmogorov Equation 175
8.3.3 Multivariate Diffusions and Ito s Lemma 177
8.4 Summary 178
8.5 Exercises 179
9 Dynamic Hedging and PDE Valuation 181
9.1 Black Scholes Option Pricing 182
9.1.1 Portfolio Dynamics in Continuous Time 182
9.1.2 Black Scholes Model Assumptions 185
9.1.3 The Hedge Portfolio 186
9.1.4 No Arbitrage Implies a PDE 187
9.2 An Equilibrium Term Structure Model 189
9.2.1 A Bond Risk Premium 193
9.2.2 Characteristics of Bond Prices 194
9.3 Option Pricing with Random Interest Rates 195
9.4 Summary 199
9.5 Exercises 200
10 Arbitrage, Martingales, and Pricing Kernels 203
10.1 Arbitrage and Martingales 204
10.1.1 A Change in Probability: Girsanov s Theorem 206
10.1.2 Money Market Deflator 208
10.1.3 Feynman Kac Solution 209
10.2 Arbitrage and Pricing Kernels 210
10.2.1 Linking the Valuation Methods 212
10.2.2 The Multivariate Case 213
10.3 Alternative Price Deflators 213
10.4 Applications 215
Contents xi
10.4.1 Continuous Dividends 216
10.4.2 The Term Structure Revisited 219
10.5 Summary 220
10.6 Exercises 221
11 Mixing Diffusion and Jump Processes 225
11.1 Modeling Jumps in Continuous Time 226
11.2 Ito s Lemma for Jump Diffusion Processes 227
11.3 Valuing Contingent Claims 228
11.3.1 An Imperfect Hedge 229
11.3.2 Diversifiable jump Risk 231
11.3.3 Lognormal Jump Proportions 232
11.3.4 Nondiversifiable Jump Risk 233
11.3.5 Black Scholes versus Jump Diffusion Model 234
11.4 Summary 235
11.5 Exercises 236
part IV Asset Pricing in Continuous Time 239
12 Continuous Time Consumption
and Portfolio Choice 241
12.1 Model Assumptions 242
12.2 Continuous Time Dynamic Programming 244
12.3 Solving the Continuous Time Problem 246
12.3.1 Constant Investment Opportunities 247
12.3.2 Changing Investment Opportunities 252
12.4 The Martingale Approach to Consumption and Portfolio
Choice 258
12.4.1 Market Completeness Assumptions 259
12.4.2 The Optimal Consumption Plan 260
12.4.3 The Portfolio Allocation 263
12.4.4 An Example 264
12.5 Summary 268
12.6 Exercises 268
Xii Contents
13 Equilibrium Asset Returns 275
13.1 An Intertemporal Capital Asset Pricing Model 276
13.1.1 Constant Investment Opportunities 276
13.1.2 Stochastic Investment Opportunities 278
13.1.3 An Extension to State Dependent Utility 280
13.2 Breeden s Consumption CAPM 280
13.3 A Cox, Ingersoll, and Ross Production Economy 283
13.3.1 An Example Using Log Utility 289
13.4 Summary 292
13.5 Exercises 293
14 Time Inseparable Utility 295
14.1 Constantinides Internal Habit Model 296
14.1.1 Assumptions 297
14.1.2 Consumption and Portfolio Choices 300
14.2 Campbell and Cochrane s External Habit Model 304
14.2.1 Assumptions 304
14.2.2 Equilibrium Asset Prices 305
14.3 Recursive Utility 308
14.3.1 A Model by Obstfeld 309
14.3.2 Discussion of the Model 313
14.4 Summary 315
14.5 Exercises 316
part V Additional Topics in Asset Pricing 319
15 Behavioral Finance and Asset Pricing 321
15.1 The Effects of Psychological Biases on Asset Prices 323
15.1.1 Assumptions 323
15.1.2 Solving the Model 326
15.1.3 Model Results 329
15.2 The Impact of Irrational Traders on Asset Prices 329
15.2.1 Assumptions 329
15.2.2 Solution Technique 331
Contents xiii
IS.2.3 Analysis of the Results 335
15.3 Summary 341
15.4 Exercises 341
16 Asset Pricing with Differential Information 343
16.1 Equilibrium with Private Information 344
16.1.1 Grossman Model Assumptions 344
16.1.2 Individuals Asset Demands 345
16.1.3 A Competitive Equilibrium 346
16.1.4 A Rational Expectations Equilibrium 347
16.1.5 A Noisy Rational Expectations Equilibrium 349
16.2 Asymmetric Information, Trading, and Markets 352
16.2.1 Kyle Model Assumptions 352
16.2.2 Trading and Pricing Strategies 353
16.2.3 Analysis of the Results 356
16.3 Summary 358
16.4 Exercises 358
17 Models of the Term Structure of Interest Rates 361
17.1 Equilibrium Term Structure Models 361
17.1.1 Affine Models 364
17.1.2 Quadratic Gaussian Models 368
17.1.3 Other Equilibrium Models 3 71
17.2 Valuation Models for Interest Rate Derivatives 371
17.2.1 Heath ]arrow Morton Models 372
17.2.2 Market Models 382
17.2.3 Random Field Models 389
17.3 Summary 394
17.4 Exercises 394
18 Models of Default Risk 397
18.1 The Structural Approach 398
18.2 The Reduced Form Approach 401
18.2.1 A Zero Recovery Bond 402
Xiv Contents
18.2.2 Specifying Recovery Values 404
18.2.3 Examples 408
18.3 Summary 411
18.4 Exercises 412
References 475
Index 433
|
| adam_txt |
Contents
Preface xv
part I Single Period Portfolio Choice
and Asset Pricing 1
1 Expected Utility and Risk Aversion 3
1.1 Preferences When Returns Are Uncertain 4
1.2 Risk Aversion and Risk Premia 11
1.3 Risk Aversion and Portfolio Choice 19
1.4 Summary 24
1.5 Exercises 25
2 Mean Variance Analysis 27
2.1 Assumptions on Preferences and Asset Returns 28
2.2 Investor Indifference Relations 31
2.3 The Efficient Frontier 34
2.3.1 A Simple Example 35
2.3.2 Mathematics of the Efficient Frontier 37
2.3.3 Portfolio Separation 40
2.4 The Efficient Frontier with a Riskless Asset 44
2.4.1 An Example with Negative Exponential Utility 48
2.5 An Application to Cross Hedging 50
2.6 Summary 53
2.7 Exercises 54
vii
Viii Contents
3 CAPM, Arbitrage, and Linear Factor Models 57
3.1 The Capital Asset Pricing Model 58
3.1.1 Characteristics of the Tangency Portfolio 59
3.1.2 Market Equilibrium 60
3.2 Arbitrage 66
3.2.1 Examples of Arbitrage Pricing 67
3.3 Linear Factor Models 70
3.4 Summary 76
3.5 Exercises 77
4 Consumption Savings Decisions and State Pricing 79
4.1 Consumption and Portfolio Choices 80
4.2 An Asset Pricing Interpretation 84
4.2.1 Real versus Nominal Returns 85
4.2.2 Risk Premia and the Marginal Utility of Consumption 86
4.2.3 The Relationship to CAPM 86
4.2.4 Bounds on Risk Premia 88
4.3 Market Completeness, Arbitrage, and State Pricing 91
4.3.1 Complete Markets Assumptions 92
4.3.2 Arbitrage and State Prices 93
4.3.3 Risk Neutral Probabilities 95
4.3.4 State Pricing Extensions 97
4.4 Summary 97
4.5 Exercises 98
part II Multiperiod Consumption,
Portfolio Choice, and Asset Pricing 101
5 A Multiperiod Discrete Time Model of Consumption
and Portfolio Choice 103
5.1 Assumptions and Notation of the Model 105
5.1.1 Preferences 105
5.1.2 The Dynamics of Wealth 106
5.2 Solving the Multiperiod Model 107
5.2.1 The Final Period Solution 108
Contents ix
5.2.2 Deriving the Bellman Equation 110
5.2.3 The General Solution 112
5.3 Example Using Log Utility 113
5.4 Summary 117
5.5 Exercises 118
6 Multiperiod Market Equilibrium 121
6.1 Asset Pricing in the Multiperiod Model 122
6.1.1 The Multiperiod Pricing Kernel 122
6.2 The Lucas Model of Asset Pricing 124
6.2.1 Including Dividends in Asset Returns 125
6.2.2 Equating Dividends to Consumption 127
6.2.3 Asset Pricing Examples 127
6.2.4 A Lucas Model with Labor Income 129
6.3 Rational Asset Price Bubbles 131
6.3.1 Examples of Bubble Solutions 133
6.3.2 The Likelihood of Rational Bubbles 133
6.4 Summary 135
6.5 Exercises 136
part III Contingent Claims Pricing 139
7 Basics of Derivative Pricing 141
7.1 Forward and Option Contracts 142
7.1.1 Forward Contracts on Assets Paying Dividends 142
7.1.2 Basic Characteristics of Option Prices 145
7.2 Binomial Option Pricing 149
7.2.1 Valuing a One Period Option 150
7.2.2 Valuing a Multiperiod Option 153
7.3 Binomial Model Applications 156
7.3.1 Calibrating the Model 157
7.3.2 Valuing an American Option 158
7.3.3 Options on Dividend Paying Assets 162
7.4 Summary 162
7.5 Exercises 163
X Contents
8 Essentials of Diffusion Processes and Ito's Lemma 165
8.1 Pure Brownian Motion 166
8.1.1 The Continuous Time Limit 167
8.2 Diffusion Processes 169
8.2.1 Definition of an ltd Integral 170
8.3 Functions of Continuous Time Processes and Ito's
Lemma 172
8.3.1 Geometric Brownian Motion 174
8.3.2 Kolmogorov Equation 175
8.3.3 Multivariate Diffusions and Ito's Lemma 177
8.4 Summary 178
8.5 Exercises 179
9 Dynamic Hedging and PDE Valuation 181
9.1 Black Scholes Option Pricing 182
9.1.1 Portfolio Dynamics in Continuous Time 182
9.1.2 Black Scholes Model Assumptions 185
9.1.3 The Hedge Portfolio 186
9.1.4 No Arbitrage Implies a PDE 187
9.2 An Equilibrium Term Structure Model 189
9.2.1 A Bond Risk Premium 193
9.2.2 Characteristics of Bond Prices 194
9.3 Option Pricing with Random Interest Rates 195
9.4 Summary 199
9.5 Exercises 200
10 Arbitrage, Martingales, and Pricing Kernels 203
10.1 Arbitrage and Martingales 204
10.1.1 A Change in Probability: Girsanov's Theorem 206
10.1.2 Money Market Deflator 208
10.1.3 Feynman Kac Solution 209
10.2 Arbitrage and Pricing Kernels 210
10.2.1 Linking the Valuation Methods 212
10.2.2 The Multivariate Case 213
10.3 Alternative Price Deflators 213
10.4 Applications 215
Contents xi
10.4.1 Continuous Dividends 216
10.4.2 The Term Structure Revisited 219
10.5 Summary 220
10.6 Exercises 221
11 Mixing Diffusion and Jump Processes 225
11.1 Modeling Jumps in Continuous Time 226
11.2 Ito's Lemma for Jump Diffusion Processes 227
11.3 Valuing Contingent Claims 228
11.3.1 An Imperfect Hedge 229
11.3.2 Diversifiable jump Risk 231
11.3.3 Lognormal Jump Proportions 232
11.3.4 Nondiversifiable Jump Risk 233
11.3.5 Black Scholes versus Jump Diffusion Model 234
11.4 Summary 235
11.5 Exercises 236
part IV Asset Pricing in Continuous Time 239
12 Continuous Time Consumption
and Portfolio Choice 241
12.1 Model Assumptions 242
12.2 Continuous Time Dynamic Programming 244
12.3 Solving the Continuous Time Problem 246
12.3.1 Constant Investment Opportunities 247
12.3.2 Changing Investment Opportunities 252
12.4 The Martingale Approach to Consumption and Portfolio
Choice 258
12.4.1 Market Completeness Assumptions 259
12.4.2 The Optimal Consumption Plan 260
12.4.3 The Portfolio Allocation 263
12.4.4 An Example 264
12.5 Summary 268
12.6 Exercises 268
Xii Contents
13 Equilibrium Asset Returns 275
13.1 An Intertemporal Capital Asset Pricing Model 276
13.1.1 Constant Investment Opportunities 276
13.1.2 Stochastic Investment Opportunities 278
13.1.3 An Extension to State Dependent Utility 280
13.2 Breeden's Consumption CAPM 280
13.3 A Cox, Ingersoll, and Ross Production Economy 283
13.3.1 An Example Using Log Utility 289
13.4 Summary 292
13.5 Exercises 293
14 Time Inseparable Utility 295
14.1 Constantinides'Internal Habit Model 296
14.1.1 Assumptions 297
14.1.2 Consumption and Portfolio Choices 300
14.2 Campbell and Cochrane's External Habit Model 304
14.2.1 Assumptions 304
14.2.2 Equilibrium Asset Prices 305
14.3 Recursive Utility 308
14.3.1 A Model by Obstfeld 309
14.3.2 Discussion of the Model 313
14.4 Summary 315
14.5 Exercises 316
part V Additional Topics in Asset Pricing 319
15 Behavioral Finance and Asset Pricing 321
15.1 The Effects of Psychological Biases on Asset Prices 323
15.1.1 Assumptions 323
15.1.2 Solving the Model 326
15.1.3 Model Results 329
15.2 The Impact of Irrational Traders on Asset Prices 329
15.2.1 Assumptions 329
15.2.2 Solution Technique 331
Contents xiii
IS.2.3 Analysis of the Results 335
15.3 Summary 341
15.4 Exercises 341
16 Asset Pricing with Differential Information 343
16.1 Equilibrium with Private Information 344
16.1.1 Grossman Model Assumptions 344
16.1.2 Individuals'Asset Demands 345
16.1.3 A Competitive Equilibrium 346
16.1.4 A Rational Expectations Equilibrium 347
16.1.5 A Noisy Rational Expectations Equilibrium 349
16.2 Asymmetric Information, Trading, and Markets 352
16.2.1 Kyle Model Assumptions 352
16.2.2 Trading and Pricing Strategies 353
16.2.3 Analysis of the Results 356
16.3 Summary 358
16.4 Exercises 358
17 Models of the Term Structure of Interest Rates 361
17.1 Equilibrium Term Structure Models 361
17.1.1 Affine Models 364
17.1.2 Quadratic Gaussian Models 368
17.1.3 Other Equilibrium Models 3 71
17.2 Valuation Models for Interest Rate Derivatives 371
17.2.1 Heath ]arrow Morton Models 372
17.2.2 Market Models 382
17.2.3 Random Field Models 389
17.3 Summary 394
17.4 Exercises 394
18 Models of Default Risk 397
18.1 The Structural Approach 398
18.2 The Reduced Form Approach 401
18.2.1 A Zero Recovery Bond 402
Xiv Contents
18.2.2 Specifying Recovery Values 404
18.2.3 Examples 408
18.3 Summary 411
18.4 Exercises 412
References 475
Index 433 |
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| author | Pennacchi, George G. |
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| dewey-full | 332.63/2042 |
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| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.63/2042 |
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| discipline | Wirtschaftswissenschaften |
| discipline_str_mv | Wirtschaftswissenschaften |
| edition | Pearson international edition |
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| id | DE-604.BV022720101 |
| illustrated | Illustrated |
| index_date | 2024-07-02T18:29:48Z |
| indexdate | 2024-07-09T21:04:27Z |
| institution | BVB |
| isbn | 032112720X 9780321127204 9780321495365 |
| language | English |
| lccn | 2006039325 |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-015925842 |
| oclc_num | 77004061 |
| open_access_boolean | |
| owner | DE-703 DE-355 DE-BY-UBR DE-521 DE-11 DE-945 DE-739 DE-20 |
| owner_facet | DE-703 DE-355 DE-BY-UBR DE-521 DE-11 DE-945 DE-739 DE-20 |
| physical | XVII, 457 S. graph. Darst. |
| publishDate | 2008 |
| publishDateSearch | 2008 |
| publishDateSort | 2008 |
| publisher | Pearson/Addison-Wesley |
| record_format | marc |
| series2 | The Addison-Wesley series in finance |
| spelling | Pennacchi, George G. Verfasser (DE-588)170012174 aut Theory of asset pricing George Pennacchi Pearson international edition Boston, Mass. [u.a.] Pearson/Addison-Wesley 2008 XVII, 457 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier The Addison-Wesley series in finance Literaturverz. S. 415 - 431 Capital assets pricing model Securities Vermögen (DE-588)4063065-1 gnd rswk-swf Bewertung (DE-588)4006340-9 gnd rswk-swf Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd rswk-swf Capital-Asset-Pricing-Modell (DE-588)4121078-5 s Vermögen (DE-588)4063065-1 s Bewertung (DE-588)4006340-9 s b DE-604 http://www.loc.gov/catdir/toc/ecip076/2006039325.html Inhaltsverzeichnis HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015925842&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Pennacchi, George G. Theory of asset pricing Capital assets pricing model Securities Vermögen (DE-588)4063065-1 gnd Bewertung (DE-588)4006340-9 gnd Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd |
| subject_GND | (DE-588)4063065-1 (DE-588)4006340-9 (DE-588)4121078-5 |
| title | Theory of asset pricing |
| title_auth | Theory of asset pricing |
| title_exact_search | Theory of asset pricing |
| title_exact_search_txtP | Theory of asset pricing |
| title_full | Theory of asset pricing George Pennacchi |
| title_fullStr | Theory of asset pricing George Pennacchi |
| title_full_unstemmed | Theory of asset pricing George Pennacchi |
| title_short | Theory of asset pricing |
| title_sort | theory of asset pricing |
| topic | Capital assets pricing model Securities Vermögen (DE-588)4063065-1 gnd Bewertung (DE-588)4006340-9 gnd Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd |
| topic_facet | Capital assets pricing model Securities Vermögen Bewertung Capital-Asset-Pricing-Modell |
| url | http://www.loc.gov/catdir/toc/ecip076/2006039325.html http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015925842&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT pennacchigeorgeg theoryofassetpricing |
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