Asset pricing and portfolio choice theory:
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
New York, NY
Oxford University Press
[2017]
|
| Edition: | Second edition |
| Series: | Financial management association survey and synthesis series
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Item Description: | Includes bibliographical references and index |
| Physical Description: | xxi, 722 Seiten Diagramme |
| ISBN: | 9780190241148 |
Staff View
MARC
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| 245 | 1 | 0 | |a Asset pricing and portfolio choice theory |c Kerry E. Back |
| 250 | |a Second edition | ||
| 264 | 1 | |a New York, NY |b Oxford University Press |c [2017] | |
| 264 | 4 | |c © 2017 | |
| 300 | |a xxi, 722 Seiten |b Diagramme | ||
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| 337 | |b n |2 rdamedia | ||
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| 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
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|---|---|
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| DE-BY-FWS_katkey | 698986 |
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| adam_text | CONTENTS
Preface to the First Edition xv
Preface to the Second Edition xvi
Asset Pricing and Portfolio Puzzles xvii
PART ONE Single-Period Models
1. Utility and Risk Aversion 3
1.1. Utility Functions and Risk Aversion 4
1.2. Certainty Equivalents and Second-Order Risk Aversion 8
1.3. Linear Risk Tolerance 11
1.4. Utility and Wealth Moments 16
1.5. Risk Aversion for Increments to Random Wealth 17
1.6. Notes and References 19
2. Portfolio Choice 27
2.1. First-Order Condition 29
2.2. Single Risky Asset 32
2.3. Multiple Risky Assets 35
2.4. CARA-Normal Model 38
2.5. Mean-Variance Preferences 41
2.6. Linear Risk Tolerance and Wealth Expansion Paths 43
2.7. Beginning-of-Period Consumption 47
2.8. Notes and References 48
3. Stochastic Discount Factors 52
3.1. Basic Relationships Regarding SDFs 53
3.2. Arbitrage, the Law of One Price, and Existence of SDFs 56
3.3. Complete Markets and Uniqueness of the SDF 59
3.4. Risk-Neutral Probabilities 61
3.5. Orthogonal Projections of SDFs onto the Asset Span 62
3.6. Hansen-Jagannathan Bounds 67
3.7. Hedging and Optimal Portfolios with Quadratic Utility 70
viii
CONTENTS
3.8. Hilbert Spaces and Gram-Schmidt Orthogonalization 72
3.9. Notes and References 75
4. Equilibrium and Efficiency 79
4.1. Pareto Optima 80
4.2. Competitive Equilibria 83
4.3. Complete Markets 84
4.4. Aggregation and Efficiency with Linear Risk Tolerance 86
4.5. Beginning-of-Period Consumption 93
4.6. Notes and References 95
5. Mean-Variance Analysis 99
5.1. Graphical Analysis 100
5.2. Mean-Variance Frontier of Risky Assets 101
5.3. Mean-Variance Frontier with a Risk-Free Asset 106
5.4. Orthogonal Projections and Frontier Returns 111
5.5. Frontier Returns and Stochastic Discount Factors 117
5.6. Separating Distributions 118
5.7. Notes and References 122
6. Factor Models 127
6.1. Capital Asset Pricing Model 128
6.2. General Factor Models 135
6.3. Jensens Alpha and Performance Evaluation 142
6.4. Statistical Factors 145
6.5. Arbitrage Pricing Theory 147
6.6. Empirical Performance of Popular Models 150
6.7. Notes and References 155
7. Representative Investors 162
7.1. Pareto Optimality Implies a Representative Investor 163
7.2. Linear Risk Tolerance 165
7.3. Consumption-Based Asset Pricing 167
7.4. Coskewness-Cokurtosis Pricing Model 171
7.5. Rubinstein Option Pricing Model 172
7.6. Notes and References 175
PART TWO Dynamic Models
8. Dynamic Securities Markets 183
8.1. Portfolio Choice Model 184
CONTENTS
8.2. Stochastic Discount Factor Processes 187
8.3. Arbitrage and the Law of One Price 192
8.4. Complete Markets 192
8.5. Bubbles, Transversality Conditions, and Ponzi Schemes 195
8.6. Inflation and Foreign Exchange 198
8.7. Notes and References 198
9. Dynamic Portfolio Choice 202
9.1. Euler Equation 202
9.2. Static Approach in Complete Markets 205
9.3. Orthogonal Projections for Quadratic Utility 206
9.4. Introduction to Dynamic Programming 208
9.5. Dynamic Programming for Portfolio Choice 212
9.6. CRRA Utility with IID Returns 219
9.7. Notes and References 227
10. Dynamic Asset Pricing 233
10.1. CAPM, CCAPM, and ICAPM 234
10.2. Testing Conditional Models 246
10.3. Competitive Equilibria 247
10.4. Gordon Model and Representative Investors 249
10.5. Campbell-Shiller Linearization 251
10.6. Risk-Neutral Probabilities 254
10.7. Notes and References 256
11. Explaining Puzzles 260
11.1. External Habits 260
11.2. Rare Disasters 266
11.3. Epstein-Zin-Weil Utility 268
11.4. Long-Run Risks 276
11.5. Uninsurable Labor Income Risk 279
11.6. Notes and References 283
12. Brownian Motion and Stochastic Calculus 289
12.1. Brownian Motion 290
12.2. ltd Integral and ltd Processes 292
12.3. Martingale Representation 298
12.4. ltd’s Formula 299
12.5. Geometric Brownian Motion 303
12.6. Covariation of ltd Processes and General ltd’s Formula 305
12.7. Conditional Variances and Covariances 308
12.8. Transformations of Models 309
12.9. Notes and References 311
13. Continuous-Time Markets 318
13.1. Asset Price Dynamics 318
13.2. Intertemporal Budget Constraint 322
13.3. Stochastic Discount Factor Processes 323
13.4. Valuation via SDF Processes 330
13.5. Complete Markets 333
13.6. Markovian Model 335
13.7. Real and Nominal SDFs and Interest Rates 336
13.8. Notes and References 337
14. Continuous-Time Portfolio Choice and Pricing 342
14.1. Euler Equation 343
14.2. Representative Investor Pricing 343
14.3. Static Approach to Portfolio Choice 344
14.4. Introduction to Dynamic Programming 349
14.5. Markovian Portfolio Choice 352
14.6. CCAPM; ICAPM, and CAPM 357
14.7. Notes and References 360
15. Continuous-Time Topics 367
15.1. Fundamental Partial Differential Equation 367
15.2. Fundamental PDE and Optimal Portfolio 369
15.3. Risk-Neutral Probabilities 370
15.4. Jump Risks 374
15.5. Internal Habits 380
15.6. Verification Theorem 387
15.7. Notes and References 390
PART THREE Derivative Securities
16. Option Pricing 401
16.1. Uses of Options and Put-Call Parity 403
16.2. “No Arbitrage Assumptions 406
16.3. Changing Probabilities 407
16.4. Black-Scholes Formula 409
16.5. Fundamental Partial Differential Equation 413
CONTENTS
xi
16.6. Delta Hedging and Greeks 415
16.7. American Options and Smooth Pasting 419
16.8. Dividends 423
16.9. Notes and References 424
17. Forwards^ Futures; and More Option Pricing 432
17.1. Forward Measures 432
17.2. Forwards and Futures 433
17.3. Margrabe; Black, and Merton Formulas 437
17.4. Implied and Local Volatilities 443
17.5. Stochastic Volatility 445
17.6. Notes and References 449
18. Term Structure Models 458
18.1. Forward Rates 459
18.2. Factor Models and the Fundamental PDE 460
18.3. Affine Models 461
18.4. Quadratic Models 469
18.5. Expectations Hypotheses 469
18.6. Fitting the Yield Curve and HJM Models 474
18.7. Notes and References 477
19. Perpetual Options and the Leland Model 485
19.1. Perpetual Options 486
19.2. More Time-Independent Derivatives 492
19.3. Perpetual Debt with Endogenous Default 494
19.4. Optimal Static Capital Structure 498
19.5. Optimal Dynamic Capital Structure 500
19.6. Finite Maturity Debt 505
19.7. Notes and References 509
20. Real Options and q Theory 513
20.1. An Indivisible Investment Project 515
20.2. q Theory 518
20.3. Irreversible Investment as a Series of Real Options 524
20.4. Dynamic Programming for Irreversible Investment 530
20.5. Irreversible Investment and Perfect Competition 535
20.6. Berk-Green-Naik Model 541
20.7. Notes and References 546
CONTENTS
xii
PART FOUR Beliefs, Information, and Preferences
21. Heterogeneous Beliefs 553
21.1. State-Dependent Utility Formulation 554
21.2. Aggregation in Single-Period Markets 555
21.3. Aggregation in Dynamic Markets 558
21.4. Short Sales Constraints and Overpricing 562
21.5. Speculative Trade and Bubbles 564
21.6. Notes and References 565
22. Rational Expectations Equilibria 569
22.1. No-Trade Theorem 570
22.2. Normal-Normal Updating 573
22.3. Fully Revealing Equilibria 577
22.4. Grossman-Stiglitz Model 578
22.5. Hellwig Model 583
22.6. Notes and References 586
23. Learning 591
23.1. Estimating an Unknown Drift 592
23.2. Portfolio Choice with an Unknown Expected Return 594
23.3. More Filtering Theory 597
23.4. Learning Expected Consumption Growth 603
23.5. A Regime-Switching Model 605
23.6. Notes and References 608
24. Information, Strategic Trading, and Liquidity 613
24.1. Glosten-Milgrom Model 614
24.2. Kyle Model 616
24.3. Glosten Model of Limit Order Markets 620
24.4. Auctions 624
24.5. Continuous-Time Kyle Model 632
24.6. Notes and References 642
25. Alternative Preferences 651
25.1. Experimental Paradoxes 652
25.2. Betweenness Preferences 658
25.3. Rank-Dependent Preferences 663
25.4. First-Order Risk Aversion 665
25.5. Ambiguity Aversion 666
25.6. Notes and References 673
CONTENTS
xiii
Appendices
A. Some Probability and Stochastic Process Theory 679
A. L Random Variables 679
A.2. Probabilities 680
A.3. Distribution Functions and Densities 681
A4. Expectations 681
A.5. Convergence of Expectations 682
A.6. Interchange of Differentiation and Expectation 683
A.7. Random Vectors 684
A.8. Conditioning 685
A.9. Independence 686
A. 10. Equivalent Probability Measures 687
A. 11. Filtrations, Martingales, and Stopping Times 688
A.12. Martingales under Equivalent Measures 688
A. 13. Local Martingales 689
A. 14. The Usual Conditions 690
Bibliography 691
Index 715
|
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| indexdate | 2025-02-20T06:37:11Z |
| institution | BVB |
| isbn | 9780190241148 |
| language | English |
| lccn | 016007558 |
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| physical | xxi, 722 Seiten Diagramme |
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| spellingShingle | Back, Kerry E. Asset pricing and portfolio choice theory Capital assets pricing model Portfolio management Arbitrage-Pricing-Theorie (DE-588)4112584-8 gnd Portfoliomanagement (DE-588)4115601-8 gnd Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd Kreditmarkt (DE-588)4073788-3 gnd |
| subject_GND | (DE-588)4112584-8 (DE-588)4115601-8 (DE-588)4121078-5 (DE-588)4073788-3 |
| 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 Arbitrage-Pricing-Theorie (DE-588)4112584-8 gnd Portfoliomanagement (DE-588)4115601-8 gnd Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd Kreditmarkt (DE-588)4073788-3 gnd |
| topic_facet | Capital assets pricing model Portfolio management Arbitrage-Pricing-Theorie Portfoliomanagement Capital-Asset-Pricing-Modell Kreditmarkt |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=029102864&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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Indexes
Sonderstandort Fakultät
| Call Number: |
2000 QK 810 B126(2) |
|---|---|
| Copy 1 | nicht ausleihbar Checked out – Due: 31.12.2099 Recall This |