Asset pricing theory:
"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...
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Princeton, NJ [u.a.]
Princeton Univ. Press
2009
|
| Schriftenreihe: | Princeton series in finance
|
| Schlagworte: | |
| Online-Zugang: | Klappentext Inhaltsverzeichnis |
| Zusammenfassung: | "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." "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."--BOOK JACKET. |
| Beschreibung: | Literaturverz. S. 327 - 339 |
| Beschreibung: | XV, 346 S. graph. Darst. |
| ISBN: | 9780691139852 |
Internformat
MARC
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Datensatz im Suchindex
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| adam_text | ASSET PRICING THEORY
(continued from Jmni
Costiş
Sldadas
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.
Costiş
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 arc
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
uell as mathematical]) 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
Costiş
Skiadas
is the Harold L. Stuart Professor
of Finance at Northwestern University s Kellogg
School of Management.
Princeton Series in Finance
Darrell Duffie and Stephen Schaefer,
et design by
Marcella Engel
Re
Contents
Preface
xi
Notation and Conventions xv
PART ONE
single-period analysis
Chapter One
Financial Market and Arbitrage
3
1.1
Market and Arbitrage
3
1.2
Present Value and State Prices
6
1.3
Market Completeness and Dominant Choice
9
1.4
Probabilistic Representations of Value
12
1.5
Financial Contracts and Portfolios
15
1.6
Returns
17
1.7
Trading Constraints
19
1.8
Exercises
22
1.9
Notes
27
Chapter Two
Mean-Variance Analysis
29
2.1
Market and Inner Product Structure
29
2.2
Minimum-Variance Cash Flows
32
2.3
Minimum-Variance Returns
35
2.4
Beta Pricing
37
2.5
Sharpe
Ratios
40
2.6
Mean-Variance Efficiency
43
2.7
Factor Pricing
46
2.8
Exercises
49
2.9
Notes
54
Chapter Three
Optimality and Equilibrium
55
3.1
Preferences, Optimality and State Prices
55
3.2
Equilibrium
58
3.3
Effective Market Completeness
62
vii
CONTENTS
3.4
Representative-Agent Pricing
65
3.4.1
Aggregation Based on Scale
Invariance
66
3.4.2
Aggregation Based on Translation
Invariance
69
3.5
Utility
71
3.5.1
Compensation Function Construction of Utilities
72
3.5.2
Additive Utilities
76
3.6
Utility and Individual Optimality
79
3.7
Utility and Allocational Optimality
83
3.8
Exercises
87
3.9
Notes
91
Chapter Four
Risk Aversion
94
4.1
Absolute and Comparative Risk Aversion
94
4.2
Expected Utility
99
4.3
Expected Utility and Risk Aversion
103
4.3.1
Comparative Risk Aversion
103
4.3.2
Absolute Risk Aversion
105
4.4
Risk Aversion and Simple Portfolio Choice
109
4.5
Coefficients of Risk Aversion
112
4.6
Simple Portfolio Choice for Small Risks
116
4.7
Stochastic Dominance
120
4.8
Exercises
124
4.9
Notes
129
PART TWO
DISCRETE DYNAMICS
Chapter Five
Dynamic Arbitrage Pricing
135
5.1
Dynamic Market and Present Value
135
5.1.1
Time-Zero Market and Present-Value Functions
135
5.1.2
Dynamic Market and Present-Value Functions
138
5.2
Financial Contracts
142
5.2.1
Basic Arbitrage Restrictions and Trading Strategies
142
5.2.2
Budget Equations and Synthetic Contracts
146
5.3
Probabilistic Representations of Value
150
5.3.1
State-Price Densities
150
5.3.2
Equivalent Martingale Measures
154
viii
CONTENTS
5.4
Dominant
Choice and Option Pricing
159
5.4.1
Dominant Choice
160
5.4.2
Recursive Value Maximization
164
5.4.3
Arbitrage Pricing of Options
166
5.5
State-Price Dynamics
170
5.6
Market Implementation
174
5.7
Markovian Pricing
178
5.8
Exercises
183
5.9
Notes
193
Chapter Six
Dynamic Optimality and Equilibrium
195
6.1
Dynamic Utility
195
6.2
Expected Discounted Utility
199
6.3
Recursive Utility
202
6.4
Basic Properties of Recursive Utility
206
6.4.1
Comparative Risk Aversion
206
6.4.2
Utility Gradient Density
208
6.4.3
Concavity
211
6.5
Scale/Translation
Invariance
213
6.5.1
Scale-Invariant Kreps-Porteus Utility
213
6.5.2
Translation-Invariant Kreps-Porteus Utility
217
6.6
Equilibrium Pricing
219
6.6.1
Intertemporal
Marginal Rate of Substitution
220
6.6.2
State Pricing with SI Kreps-Porteus Utility
221
6.6.3
State Pricing with
TI
Kreps-Porteus Utility
227
6.7
Optimal Consumption and Portfolio Choice
229
6.7.1
Generalities
230
6.7.2
Scale-Invariant Formulation
232
6.7.3
Translation-Invariant Formulation
240
6.8
Exercises
248
6.9
Notes
252
PART THREE
MATHEMATICAL BACKGROUND
Appendix A
Optimization Principles
259
A.I Vector Space
259
IX
CONTE
NTS
A.2
Inner Product
A3
Norm
A.4
Continuity
A.5
Compactness
A.6
Projections
A.7
Supporting
Hyperplanes
A.8
Global Optimality Conditions
A.9
Local Optimality Conditions
A.10
Exercises
A.ll
Notes
261
264
266
268
270
274
276
278
281
284
Appendix
В
Discrete Stochastic Analysis
285
B.I Events, Random Variables, Expectation
285
B.2 Algebras and Measurability
289
B.3 Conditional Expectation
292
B.4 Stochastic Independence
296
B.5 Filtration, Stopping Times and Stochastic Processes
299
B.6 Martingales
304
B.7 Predictable Martingale Representation
308
B.8 Change of Measure and Martingales
312
B.9 Markov Processes
317
B.
10
Exercises
320
B.ll Notes
324
Bibliography
327
Index
341
|
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| id | DE-604.BV035334335 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T21:31:31Z |
| institution | BVB |
| isbn | 9780691139852 |
| language | English |
| lccn | 2008039426 |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-017138729 |
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| physical | XV, 346 S. graph. Darst. |
| publishDate | 2009 |
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| spelling | Skiadas, Costis 1965- Verfasser (DE-588)137851480 aut Asset pricing theory Costis Skiadas Princeton, NJ [u.a.] Princeton Univ. Press 2009 XV, 346 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Princeton series in finance Literaturverz. S. 327 - 339 "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." "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."--BOOK JACKET. Portfolio-theorie gtt Prijstheorie gtt Mathematisches Modell Capital assets pricing model Finance Mathematical models Neoklassische Theorie (DE-588)4115360-1 gnd rswk-swf Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd rswk-swf Optionspreistheorie (DE-588)4135346-8 gnd rswk-swf Capital-Asset-Pricing-Modell (DE-588)4121078-5 s Optionspreistheorie (DE-588)4135346-8 s Neoklassische Theorie (DE-588)4115360-1 s DE-604 Erscheint auch als Online-Ausgabe 978-1-4008-3014-5 (DE-604)BV046087740 Digitalisierung UB Bayreuth application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017138729&sequence=000003&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Klappentext Digitalisierung UB Bayreuth application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017138729&sequence=000004&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Skiadas, Costis 1965- Asset pricing theory Portfolio-theorie gtt Prijstheorie gtt Mathematisches Modell Capital assets pricing model Finance Mathematical models Neoklassische Theorie (DE-588)4115360-1 gnd Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd Optionspreistheorie (DE-588)4135346-8 gnd |
| subject_GND | (DE-588)4115360-1 (DE-588)4121078-5 (DE-588)4135346-8 |
| title | Asset pricing theory |
| title_auth | Asset pricing theory |
| title_exact_search | Asset pricing theory |
| title_full | Asset pricing theory Costis Skiadas |
| title_fullStr | Asset pricing theory Costis Skiadas |
| title_full_unstemmed | Asset pricing theory Costis Skiadas |
| title_short | Asset pricing theory |
| title_sort | asset pricing theory |
| topic | Portfolio-theorie gtt Prijstheorie gtt Mathematisches Modell Capital assets pricing model Finance Mathematical models Neoklassische Theorie (DE-588)4115360-1 gnd Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd Optionspreistheorie (DE-588)4135346-8 gnd |
| topic_facet | Portfolio-theorie Prijstheorie Mathematisches Modell Capital assets pricing model Finance Mathematical models Neoklassische Theorie Capital-Asset-Pricing-Modell Optionspreistheorie |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017138729&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=017138729&sequence=000004&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT skiadascostis assetpricingtheory |