Financial markets theory: equilibrium, efficiency and information
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| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
London, United Kingdom
Springer
[2017]
|
| Edition: | Second edition |
| Series: | Springer finance textbooks
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis Inhaltsverzeichnis |
| Physical Description: | xv, 836 Seiten Diagramme |
| ISBN: | 9781447173212 9781447174042 |
Staff View
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Record in the Search Index
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| adam_text |
Titel: Financial markets theory
Autor: Barucci, Emilio
Jahr: 2017
Emilio Barucci · Claudio Fontana
Financial Markets Theory
Equilibrium, Efficiency and Information
Second Edition
4^ Springer
Contents
1 Prerequisites 1
1.1 Choices Under Certainty 2
1.2 General Equilibrium Theory 7
1.3 Pareto Optimality and Aggregation 8
1.4 Notes and Further Readings 12
2 Choices Under Risk 15
2.1 Expected Utility Theory 19
2.2 Risk Aversion 24
2.3 Stochastic Dominance 34
2.4 Mean-Variance Analysis 38
2.5 Notes and Further Readings 48
2.6 Exercises 51
3 Portfolio, Insurance and SavingDecisions 55
3.1 Portfolio Theory 55
3.2 Mean-Variance PortfolioSelection 76
3.3 Insurance Demand 102
3.4 Optimal Saving and Consumption 110
3.5 Notes and Further Readings 113
3.6 Exercises 116
4 General Equilibrium Theory and No-Arbitrage 123
4.1 Pareto Optimality and Risk Sharing 127
4.2 Asset Markets and Equilibria 138
4.3 Equilibrium with Intertemporal Consumption 149
4.4 The Fundamental Theorem of Asset Pricing 164
4.5 Notes and Further Readings 190
4.6 Exercises 192
5 Factor Asset Pricing Models: CAPM and APT 201
5.1 The Consumption Capital Asset Pricing Model (CCAPM) 202
5.2 The Capital Asset Pricing Model (CAPM) 213
xiii
241
245
250
255
259
280
292
310
324
330
337
347
349
362
378
387
392
397
403
415
427
445
451
458
462
469
479
480
488
520
541
551
566
574
583
585
594
607
5.3 Empirical Tests of the CAPM
5.4 The Arbitrage Pricing Theory (APT)
5.5 Empirical Tests of the APT
5.6 Notes and Further Readings
5.7 Exercises
Multi-Period Models: Portfolio Choice, Equilibrium
and No-Arbitrage
6.1 Optimal Investment and Consumption Problems
6.2 Equilibrium and Pareto Optimality
6.3 The Fundamental Theorem of Asset Pricing
6.4 Asset Pricing Relations
6.5 Infinite Horizon Economies and Rational Bubbles
6.6 Notes and Further Readings
6.7 Exercises
Multi-Period Models: Empirical Tests
7.1 Tests on the Price-Dividend Processi Bubbles and Excess
Volatility
7.2 Tests on the Price-Dividend Processi Return Predictability
7.3 Tests on Intertemporal Equilibrium Models
7.4 Notes and Further Readings
7.5 Exercises
Information and Financial Markets
8.1 The Role of Information in Financial Markets
8.2 On the Possibility of Informationally Efficient Markets --
8.3 On the Impossibility of Informationally Efficient Markets.
8.4 Information in Dynamic Market Models
8.5 Difference of Opinions
8.6 Empirical Analysis
8.7 Notes and Further Readings
8.8 Exercises
Uncertainty, Rationality and Heterogeneity
9.1 Probability, Risk and Uncertainty
9.2 On Expected Utility Theory
9.3 Beyond Substantial Rationality
9.4 Bounded Rationality and Distorted Beliefs
9.5 Incomplete and Imperfect Markets
9.6 Notes and Further Readings
9.7 Exercises
Financial Markets Microstructure
10.1 The Role of Information Under Imperfect Competition.
10.2 Order-Driven Markets
10.3 Quote-Driven Markets
Contents xv
10.4 Multi-Period Models of Market Microstructure 619
10.5 Market Abuse: InsiderTrading and Market Manipulation 629
10.6 Market Design 634
10.7 Notes and Further Readings 644
10.8 Exercises 650
11 Solutions of Selected Exercises 661
11.1 Exercises of Chap. 2 661
11.2 Exercises of Chap. 3 667
13.3 Exercises of Chap. 4 678
11.4 Exercises of Chap. 5 689
11.5 Exercises of Chap. 6 695
11.6 Exercises of Chap. 7 715
11.7 Exercises of Chap. 8 721
11.8 Exercises of Chap. 9 736
11.9 Exercises of Chap. 10 751
References 765
Index 829 |
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| classification_rvk | QK 600 SK 980 |
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| discipline | Mathematik Wirtschaftswissenschaften |
| edition | Second edition |
| format | Book |
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| id | DE-604.BV044468119 |
| illustrated | Not Illustrated |
| indexdate | 2024-12-19T11:01:02Z |
| institution | BVB |
| isbn | 9781447173212 9781447174042 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-029868599 |
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| owner_facet | DE-355 DE-BY-UBR DE-11 DE-521 DE-522 |
| physical | xv, 836 Seiten Diagramme |
| publishDate | 2017 |
| publishDateSearch | 2017 |
| publishDateSort | 2017 |
| publisher | Springer |
| record_format | marc |
| series2 | Springer finance textbooks |
| spelling | Barucci, Emilio 1968- Verfasser (DE-588)170602761 aut Financial markets theory equilibrium, efficiency and information Emilio Barucci, Claudio Fontana Second edition London, United Kingdom Springer [2017] © 2017 xv, 836 Seiten Diagramme txt rdacontent n rdamedia nc rdacarrier Springer finance textbooks Kreditmarkt (DE-588)4073788-3 gnd rswk-swf Kapitalmarkttheorie (DE-588)4137411-3 gnd rswk-swf Mathematisches Modell (DE-588)4114528-8 gnd rswk-swf Kreditmarkt (DE-588)4073788-3 s Mathematisches Modell (DE-588)4114528-8 s DE-604 Kapitalmarkttheorie (DE-588)4137411-3 s Fontana, Claudio Sonstige (DE-588)1058454498 oth Erscheint auch als Online-Ausgabe 978-1-4471-7322-9 Überarbeitung von London : Springer, 2003 1-85233-469-X (DE-604)BV014894417 DE-601 application/pdf http://www.gbv.de/dms/zbw/88823239X.pdf Inhaltsverzeichnis HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=029868599&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Barucci, Emilio 1968- Financial markets theory equilibrium, efficiency and information Kreditmarkt (DE-588)4073788-3 gnd Kapitalmarkttheorie (DE-588)4137411-3 gnd Mathematisches Modell (DE-588)4114528-8 gnd |
| subject_GND | (DE-588)4073788-3 (DE-588)4137411-3 (DE-588)4114528-8 |
| title | Financial markets theory equilibrium, efficiency and information |
| title_auth | Financial markets theory equilibrium, efficiency and information |
| title_exact_search | Financial markets theory equilibrium, efficiency and information |
| title_full | Financial markets theory equilibrium, efficiency and information Emilio Barucci, Claudio Fontana |
| title_fullStr | Financial markets theory equilibrium, efficiency and information Emilio Barucci, Claudio Fontana |
| title_full_unstemmed | Financial markets theory equilibrium, efficiency and information Emilio Barucci, Claudio Fontana |
| title_short | Financial markets theory |
| title_sort | financial markets theory equilibrium efficiency and information |
| title_sub | equilibrium, efficiency and information |
| topic | Kreditmarkt (DE-588)4073788-3 gnd Kapitalmarkttheorie (DE-588)4137411-3 gnd Mathematisches Modell (DE-588)4114528-8 gnd |
| topic_facet | Kreditmarkt Kapitalmarkttheorie Mathematisches Modell |
| url | http://www.gbv.de/dms/zbw/88823239X.pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=029868599&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT barucciemilio financialmarketstheoryequilibriumefficiencyandinformation AT fontanaclaudio financialmarketstheoryequilibriumefficiencyandinformation |
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