Asset pricing and portfolio choice theory:
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Oxford [u.a.]
Oxford Univ. Press
2010
|
| Series: | Financial Management Association: survey and synthesis series
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Item Description: | Includes bibliographical references and index |
| Physical Description: | XVI, 487 S. graph. Darst. |
| ISBN: | 9780195380613 |
Staff View
MARC
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| 100 | 1 | |a Back, Kerry E. |e Verfasser |0 (DE-588)129613835 |4 aut | |
| 245 | 1 | 0 | |a Asset pricing and portfolio choice theory |c Kerry E. Back |
| 264 | 1 | |a Oxford [u.a.] |b Oxford Univ. Press |c 2010 | |
| 300 | |a XVI, 487 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 0 | |a Financial Management Association: survey and synthesis series | |
| 500 | |a Includes bibliographical references and index | ||
| 650 | 4 | |a Capital assets pricing model | |
| 650 | 4 | |a Portfolio management | |
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Record in the Search Index
| _version_ | 1804143610145275904 |
|---|---|
| adam_text | Contents
I Single-Period Models
1
Utility Functions and Risk Aversion Coefficients
3
1.1
Uniqueness of Utility Functions
4
1.2
Concavity and Risk Aversion
4
1.3
Coefficients of Risk Aversion
5
1.4
Risk Aversion and Risk
Premia
6
1.5
Constant Absolute Risk Aversion
8
1.6
Constant Relative Risk Aversion
10
1.7
Linear Risk Tolerance
10
1.8
Conditioning and Aversion to Noise
13
1.9
Notes and References
14
Exercises
17
2
Portfolio Choice and Stochastic Discount Factors
21
2.1
The First-Order Condition
23
2.2
Stochastic Discount Factors
26
2.3
A Single Risky Asset
27
2.4
Linear Risk Tolerance
31
2.5
Constant Absolute Risk Aversion with Multivariate Normal Returns
34
2.6
Mean-Variance Preferences
36
Contents
2.7
Complete Markets
37
2.8
Beginning-of-Period Consumption
39
2.9
Time-Additive Utility
41
2.10
Notes and References
41
Exercises
42
3
Equilibrium and Efficiency
47
3.1
Pareto Optima
47
3.2
Social Planner s Problem
48
3.3
Pareto Optima and Sharing Rules
49
3.4
Competitive Equilibria
50
3.5
Complete Markets
51
3.6
Linear Risk Tolerance
53
3.7
Beginning-of-Period Consumption
59
3.8
Notes and References
61
Exercises
61
4
Arbitrage and Stochastic Discount Factors
65
4.1
Fundamental Theorem on Existence of Stochastic Discount Factors
65
4.2
Law of One Price and Stochastic Discount Factors
67
4.3
Risk-Neutral Probabilities
68
4.4
Projecting SDF s onto the Asset Span
68
4.5
Projecting onto a Constant and the Asset Span
71
4.6
Hansen-Jagannathan Bound with a Risk-Free Asset
72
4.7
Hansen-Jagannathan Bound with No Risk-Free Asset
73
4.8
Hubert Spaces and Gram-Schmidt Orthogonalization
74
4.9
Notes and References
76
Exercises
78
5
Mean-Variance Analysis
80
5.1
The Calculus Approach for Risky Assets
81
5.2
Two-Fund Spanning
82
5.3
The Mean-Standard Deviation Trade-Off
83
5.4
GMV Portfolio and Mean-Variance Efficiency
83
5.5
Calculus Approach with a Risk-Free Asset
84
5.6
Two-Fund Spanning Again
88
5.7
Orthogonal Projections and Frontier Returns
88
5.8
Risk-Free Return Proxies
91
5.9
Inefficiency of Rp
92
5.10
Hansen-Jagannathan Bound with a Risk-Free Asset
92
5.11
Frontier Returns and Stochastic Discount Factors
93
5.12
Separating Distributions
94
5.13
Notes and References
98
Exercises
99
Contents
6
Beta Pricing Models
101
6.1
Beta Pricing
101
6.2
Single-Factor Models with Returns as Factors
103
6.3
The Capital Asset Pricing Model
105
6.4
Returns and Excess Returns as Factors
108
6.5
Projecting Factors on Returns and Excess Returns
109
6.6
Beta Pricing and Stochastic Discount Factors
111
6.7
Arbitrage Pricing Theory
112
6.8
Notes and References
116
Exercises
118
7
Representative Investors
121
7.1
Parete Optimality
Implies a Representative Investor
122
7.2
Linear Risk Tolerance
123
7.3
Consumption-Based Asset Pricing
126
7.4
Pricing Options
127
7.5
Notes and References
130
Exercises
130
II Dynamic Models
8
Dynamic Securities Markets
135
8.1
The Portfolio Choice Problem
136
8.2
Stochastic Discount Factor Processes
138
8.3
Self-Financing Wealth Processes
139
8.4
The Martingale Property
140
8.5
Transversality Conditions and
Ponzi
Schemes
142
8.6
The
Euler
Equation
143
8.7
Arbitrage and the Law of One Price
145
8.8
Risk-Neutral Probabilities
146
8.9
Complete Markets
148
8.10
Portfolio Choice in Complete Markets
150
8.11
Competitive Equilibria
151
8.12
Notes and References
152
Exercises
154
9
Portfolio Choice by Dynamic Programming
157
9.1
Introduction to Dynamic Programming
157
9.2
Bellman Equation for Portfolio Choice
160
9.3
The Envelope Condition
161
9.4
Constant Relative Risk Aversion for Terminal Wealth
162
9.5
Constant Relative Risk Aversion for Intermediate Consumption
165
9.6
Constant Relative Risk Aversion with an Infinite Horizon
167
Contents
9.7 Notes
and References
171
Exercises
173
10
Conditional Beta Pricing Models
177
10.1
From Conditional to Unconditional Models
178
10.2
The Conditional Capital Asset Pricing Model
179
10.3
The Consumption-Based Capital Asset Pricing Model
181
10.4
The
Intertemporal
Capital Asset Pricing Model
183
10.5
An Approximate Capital Asset Pricing Model
187
10.6
Notes and References
187
Exercises
188
11
Some Dynamic Equilibrium Models
189
189
190
192
193
194
194
198
201
202
12
Brownian Motion and Stochastic Calculus
204
12.1
Brownian Motion
204
12.2
Quadratic Variation
205
12.3
Ito
Integral
207
12.4
Local Martingales and Doubling Strategies
208
12.5
Ito
Processes
209
12.6
Asset and Portfolio Returns
210
12.7
Martingale Representation Theorem
212
12.8
Itô s
Formula: Version I
212
12.9
Geometric Browman Motion
216
12.10
Covariations of
Ito
Processes
218
12.11
Itô s
Formula: Version II
219
12.12
Conditional Variances and Covariances
220
12.13
Transformations of Models
222
12.14
Notes and References
224
Exercises
225
13
Securities Markets in Continuous Time
231
13.1
Dividend-Reinvested Asset Prices
231
13.2
Securities Markets
232
11.1
Representative Investors
11.2
Valuing the Market Portfolio
11.3
The Risk-Free Return
11.4
The Equity Premium Puzzle
11.5
The Risk-Free Rate Puzzle
11.6
Uninsurable Idiosyncratic Income Risk
11.7
External Habits
11.8
Notes and References
Exercises
Contents xiii
13.3
Self-Financing Wealth
Processes
234
13.4
Conditional Mean-Variance Frontier
235
13.5
Stochastic Discount Factor Processes
236
13.6
Properties of Stochastic Discount Factor Processes
237
13.7
Sufficient Conditions for MW to be a Martingale
241
13.8
Valuing Consumption Streams
242
13.9
Risk Neutral Probabilities
243
13.10
Complete Markets
245
13.11
Markets without a Risk-Free Asset
246
13.12
Inflation and Foreign Exchange
247
13.13
Notes and References
248
Exercises
249
14
Continuous-Time Portfolio Choice and Beta Pricing
256
14.1
The Static Budget Constraint
256
14.2
Complete Markets
257
14.3
Constant Capital Market Line
259
14.4
Dynamic Programming Example
260
14.5
General Markovian Portfolio Choice
263
14.6
The Consumption-Based Capital Asset Pricing Model
265
14.7
The
Intertemporal
Capital Asset Pricing Model
267
14.8
The Capital Asset Pricing Model
268
14.9
Infinite-Horizon Dynamic Programming
269
14.10
Value Function for Constant Relative Risk Aversion
269
14.11
Verification Theorem
271
14.12
Notes and References
273
Exercises
275
Derivative Securities
15
Option Pricing
283
15.1
Introduction to Options
284
15.2
Put-Call Parity and Option Bounds
286
15.3
Stochastic Discount Factor Processes
286
15.4
Changes of Measure
287
15.5
Market Completeness
289
15.6
The Black-Scholes Formula
290
15.7
Delta Hedging
293
15.8
The Fundamental Partial Differential Equation
296
15.9
American Options
297
15.10
Smooth Pasting
298
15.11
European Options on Dividend-Paying Assets
301
15.12
Notes and References
301
Exercises
304
xiv Contents
16
Forwards, Futures, and More Option Pricing
310
16.1
Forward Measures
310
16.2
Forward Contracts
311
16.3
Futures Contracts
313
16.4
Exchange Options
314
16.5
Options on Forwards and Futures
316
16.6
Dividends and Random Interest Rates
318
16.7
Implied Volatilities and Local Volatilities
319
16.8
Stochastic Volatility
321
16.9
Notes and References
325
Exercises
326
17
Term Structure Models
334
17.1
Vasicek Model
335
17.2
Cox-Ingersoll-Ross Model
337
17.3
Multifactor Cox-Ingersoll-Ross Models
339
17.4 Affine
Models
340
17.5
Completely
Affine
Models
342
17.6
Quadratic Models
343
17.7
Forward Rates
344
17.8
Fitting the Yield Curve
345
17.9
Heath-Jarrow-Morton Models
346
17.10
Notes and References
348
Exercises
350
IV Topics
18
Heterogeneous Priors
357
18.1
State-Dependent Utility Formulation
358
18.2
Representative Investors in Complete Single-Period Markets
359
18.3
Representative Investors in Complete Dynamic Markets
361
18.4
Short Sales Constraints and Biased Prices
364
18.5
Speculative Trade
366
18.6
Notes and References
367
Exercises
368
19
Asymmetric Information
371
19.1
The No-Trade Theorem
371
19.2
Normal-Normal Updating
373
19.3
A Fully Revealing Equilibrium
375
19.4
Noise Trading and Partially Revealing Equilibria
377
19.5
A Model with a Large Number of Investors
381
19.6
The Kyle Model
383
Contents xv
19.7
The Kyle Model in Continuous Time
387
19.8
Notes and References
390
Exercises
392
20
Alternative Preferences in Single-Period Models
394
20.1
The
Ellsberg
Paradox
395
20.2
The Sure Thing Principle
396
20.3
Multiple Priors and
Max-Min
Utility
396
20.4
NonAdditive Set Functions
398
20.5
The
Allais
Paradox
399
20.6
The Independence Axiom
401
20.7
Betweenness Preferences
402
20.8
Rank-Dependent Preferences
406
20.9
First-Order Risk Aversion
408
20.10
Framing and Loss Aversion
409
20.11
Prospect Theory
410
20.12
Notes and References
410
Exercises
411
21
Alternative Preferences in Dynamic Models
414
21.1
Recursive Preferences
416
21.2
Portfolio Choice with Epstein-Zin-Weil Utility
418
21.3
A Representative Investor with Epstein-Zin-Weil Utility
419
21.4
Internal Habits
421
21.5
Linear Internal Habits in Complete Markets
422
21.6
A Representative Investor with an Internal Habit
424
21.7
Keeping/Catching Up with the Joneses
426
21.8
Ambiguity Aversion in Dynamic Models
428
21.9
Notes and References
431
Exercises
433
22
Production Models
437
22.1
Discrete-Time Model
438
22.2
Marginal
q
439
22.3
Costly Reversibility
441
22.4
Project Risk and Firm Risk
442
22.5
Irreversibility and Options
446
22.6
Irreversibility and Perfect Competition
448
22.7
Irreversibility and Risk
449
22.8
Irreversibility and Perfect Competition: An Example
450
22.9
Notes and References
451
Exercises
453
Contents
Appendices
A Some Probability and Stochastic Process Theory
456
A.
1
Random Variables
456
A.2 Probabilities
457
A.3 Distribution Functions and Densities
457
A.4 Expectations
458
A.
5
Convergence of Expectations
459
A.
6
Interchange of Differentiation and Expectation
459
A.
7
Random Vectors
460
A.8 Conditioning
461
A.
9
Independence
462
АЛО
Equivalent Probability Measures
463
A.
11
Filtrations, Martingales, and Stopping Times
464
A.
12
Martingales under Equivalent Measures
464
A.
13
Local Martingales
465
A.
14
The Usual Conditions
465
Bibliography
467
Index
481
|
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| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.63/2042 |
| dewey-search | 332.63/2042 |
| dewey-sort | 3332.63 42042 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
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| id | DE-604.BV036895509 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T22:50:24Z |
| institution | BVB |
| isbn | 9780195380613 |
| language | English |
| lccn | 2009036680 |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-020810614 |
| oclc_num | 699846731 |
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| owner_facet | DE-20 DE-473 DE-BY-UBG DE-355 DE-BY-UBR DE-11 DE-92 |
| physical | XVI, 487 S. graph. Darst. |
| publishDate | 2010 |
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| publisher | Oxford Univ. Press |
| record_format | marc |
| series2 | Financial Management Association: survey and synthesis series |
| spelling | Back, Kerry E. Verfasser (DE-588)129613835 aut Asset pricing and portfolio choice theory Kerry E. Back Oxford [u.a.] Oxford Univ. Press 2010 XVI, 487 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Financial Management Association: survey and synthesis series Includes bibliographical references and index Capital assets pricing model Portfolio management Portfoliomanagement (DE-588)4115601-8 gnd rswk-swf Arbitrage-Pricing-Theorie (DE-588)4112584-8 gnd rswk-swf Kreditmarkt (DE-588)4073788-3 gnd rswk-swf Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd rswk-swf Portfoliomanagement (DE-588)4115601-8 s Capital-Asset-Pricing-Modell (DE-588)4121078-5 s Arbitrage-Pricing-Theorie (DE-588)4112584-8 s Kreditmarkt (DE-588)4073788-3 s DE-604 Digitalisierung UB Bamberg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=020810614&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Back, Kerry E. Asset pricing and portfolio choice theory Capital assets pricing model Portfolio management Portfoliomanagement (DE-588)4115601-8 gnd Arbitrage-Pricing-Theorie (DE-588)4112584-8 gnd Kreditmarkt (DE-588)4073788-3 gnd Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd |
| subject_GND | (DE-588)4115601-8 (DE-588)4112584-8 (DE-588)4073788-3 (DE-588)4121078-5 |
| title | Asset pricing and portfolio choice theory |
| title_auth | Asset pricing and portfolio choice theory |
| title_exact_search | Asset pricing and portfolio choice theory |
| title_full | Asset pricing and portfolio choice theory Kerry E. Back |
| title_fullStr | Asset pricing and portfolio choice theory Kerry E. Back |
| title_full_unstemmed | Asset pricing and portfolio choice theory Kerry E. Back |
| title_short | Asset pricing and portfolio choice theory |
| title_sort | asset pricing and portfolio choice theory |
| topic | Capital assets pricing model Portfolio management Portfoliomanagement (DE-588)4115601-8 gnd Arbitrage-Pricing-Theorie (DE-588)4112584-8 gnd Kreditmarkt (DE-588)4073788-3 gnd Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd |
| topic_facet | Capital assets pricing model Portfolio management Portfoliomanagement Arbitrage-Pricing-Theorie Kreditmarkt Capital-Asset-Pricing-Modell |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=020810614&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT backkerrye assetpricingandportfoliochoicetheory |