Advanced finance theories:
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
New Jersey
World Scientific
[2018]
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | xix, 205 Seiten Illustrationen |
| ISBN: | 9789814460378 |
Staff View
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Record in the Search Index
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| adam_text | Contents
Preface vii
About the Author ix
Acknowledgements xi
Note for PhD Students xix
1 Utility Theory 1
1.1 Risk Aversion and Certainty Equivalent....... 3
2 Pricing Kernel and Stochastic Discount Factor 5
2.1 Arrow—Debreu State Prices ........... 5
2.1.1 The pricing kernel, f i...................... 6
2.1.2 Equilibrium model............................. 8
2.2 Cochrane Two-period Consumption Problem .... 11
2.2.1 Stochastic discount factor................... 12
2.2.2 Further notation............................. 13
2.2.3 Risk-free rate............................... 13
2.2.4 Risk corrections ............................ 15
2.2.5 Idiosyncratic risk does not affect prices . . 16
2.3 Expected Return-Beta Representation................. 17
xiii
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63
Contents
Risk Measures
3.1 One-period Portfolio Selection....................
3.2 Rothschild and Stiglitz “Strict” Risk Aversion . . .
3.2.1 Efficient portfolio........................
3.2.2 Portfolio analysis.........................
3.3 Merton’s Risk Measures............................
3.3.1 Properties of Merton’s risk measure bp . . .
3.3.2 Relationship between bp and conditional
expected return E[Zp Ze ...................
3.3.3 Discussion.................................
Exercises: Capital Market Theory, Risk Measures ....
Consumption and Portfolio Selection
4.1 Basic Set-up......................................
4.2 One Risky and One Risk-Pree Asset.................
4.2.1 The Bellman equation.......................
4.2.2 Infinite time horizon......................
4.3 Constant Relative Risk Aversion ..................
4.3.1 Solution for J.............................
4.3.2 Solution for C and w.......................
4.3.3 Economic interpretation....................
4.4 Constant Absolute Risk Aversion...................
4.4.1 Solve for J................................
4.4.2 Solve for C* and w*........................
4.4.3 Economic interpretation....................
4.5 Hyperbolic Absolute Risk Aversion (HARA) . . . .
4.5.1 Relationship with CRRA and CARA . . . .
4.5.2 Portfolio choice...........................
4.5.3 Solution for J.............................
4.5.4 Solve for C* and ..........................
4.6 Optimal Rules Under Finite Horizon................
4.6.1 CRRA with finite horizon.................
4.6.2 CARA with finite horizon.................
Exercises: Intertemporal Portfolio Section..............
Contents xv
5 Optimum Demand and Mutual Fund Theorem 65
5.1 Asset Dynamics and the Budget Equation............65
5.2 The Equation of Optimality........................ 66
5.3 Optimal Investment Weight and Special Cases ... 68
5.3.1 No risk-free asset.................... 69
5.3.2 GBM and risk-free rate................ 71
5.3.3 Economic interpretation............... 72
5.4 Lognormality and Mutual Fund Theorem.............. 73
5.4.1 “Separation” or “mutual-fund” theorem . . 73
5.4.2 Key assumptions and uniqueness........ 75
5.4.3 Tobin—Markowitz separation theorem ... 79
Exercises: Optimum Demand and Mutual Fund
Separation........................................ 82
6 Mean—Variance Frontier 83
6.1 Mean—Variance Frontier............................ 83
6.1.1 The Sharpe ratio.................. 85
6.1.2 Calculating the mean—variance frontier ... 86
6.1.3 Decomposing the mean—variance frontier . . 89
6.1.4 Spanning the frontier .................... 92
6.1.5 Hansen—Jagannathan bounds.............93
7 Solving Black— Scholes with Fourier Transform 95
7.1 Option Pricing with Fourier Transform........95
7.1.1 Black—Scholes hedge portfolio......... 96
7.2 Black—Scholes Fundamental PDE..................... 96
7.2.1 Fourier transform.....................97
7.2.2 Solution through transform method .... 98
8 Capital Structure Theory 101
8.1 Objective Function for the Firm...................101
8.2 Partial Equilibrium One-period Model..........103
8.2.1 Pricing kernel........................103
8.2.2 Probability-eum-utility function......105
8.2.3 m assets..............................105
XVI
Contents
8.2.4 Introducing the concept of dQ...........107
8.2.5 What is enT?..............................107
8.3 Payoff of Risky Debt..............................108
8.4 Pricing Risky Debt................................Ill
8.4.1 Solving the FPDE..........................112
8.5 Price of a Warrant................................114
8.6 Convertible Bond..................................116
8.6.1 Reverse convertible.......................117
8.6.2 Call option enhanced reverse convertible . . 118
8.6.3 Policy implications.......................118
8.7 Bankruptcy Cost and Tax Benefit...................120
8.7.1 Solution under time invariant.............120
8.7.2 Protected debt covenant...................121
8.7.3 Optimal capital structure.................122
8.8 Deposit Insurance.................................126
Exercises: Capital Structure Theory.....................128
9 General Equilibrium 129
9.1 Firms and Securities..............................129
9.2 Individuals.......................................130
9.3 Aggregate Demand..................................131
9.4 Market Portfolio ................................ 132
9.5 Security Market Line..............................134
9.6 Three-fund Separation.............................135
9.7 Empirical Application of CAPM.....................136
Exercises: General Equilibrium..........................138
10 Discontinuity in Continuous Time 141
10.1 Counting and Marked Point Process.................141
10.2 Poisson Process...................................142
10.3 Constant Jump Size ...............................145
10.3.1 Fundamental PDE with constant jump
size .....................................146
10.3.2 Market price of jump risk.................149
10.3.3 European call price.......................150
10.3.4 Immediate ruin............................151
Contents
xvn
10.4 Random Jump Size...................................152
10.4.1 When J has a lognormal distribution . . . 153
10.5 Intertemporal Portfolio Selection with Jumps ... 154
10.5.1 Portfolio selection.........................156
10.5.2 Stock markets systemic and idiosyncratic
risk .......................................158
Exercises: Discontinuity in Continuous Time..............160
11 Spanning and Capital IVtarket Theories 163
11.1 Necessary Conditions for Non-trivial Spanning ... 164
11.2 Efficient Portfolio and Spanning...................167
11.3 Market Portfolio Spanning and CAPM.................176
11.4 Arbitrage Pricing Theory (APT)................... . 183
11.5 Modigliani—Miller Hypothesis.......................184
11.6 Comment on Spanning................................189
11.7 HARA...............................................190
Exercises: Spanning Capital Market Theories............192
Bibliography 193
Calculus Notes 195
Index 203
|
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| spelling | Poon, Ser-Huang Verfasser (DE-588)130212318 aut Advanced finance theories Ser-Huang Poon (Manchester University, UK) New Jersey World Scientific [2018] xix, 205 Seiten Illustrationen txt rdacontent n rdamedia nc rdacarrier Finance Finance Mathematical models Kapitalmarkt (DE-588)4029578-3 gnd rswk-swf Finanzierung (DE-588)4017182-6 gnd rswk-swf Theorie (DE-588)4059787-8 gnd rswk-swf (DE-588)4522595-3 Fallstudiensammlung gnd-content Kapitalmarkt (DE-588)4029578-3 s Finanzierung (DE-588)4017182-6 s Theorie (DE-588)4059787-8 s b DE-604 Digitalisierung UB Regensburg - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=030142025&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Poon, Ser-Huang Advanced finance theories Finance Finance Mathematical models Kapitalmarkt (DE-588)4029578-3 gnd Finanzierung (DE-588)4017182-6 gnd Theorie (DE-588)4059787-8 gnd |
| subject_GND | (DE-588)4029578-3 (DE-588)4017182-6 (DE-588)4059787-8 (DE-588)4522595-3 |
| title | Advanced finance theories |
| title_auth | Advanced finance theories |
| title_exact_search | Advanced finance theories |
| title_full | Advanced finance theories Ser-Huang Poon (Manchester University, UK) |
| title_fullStr | Advanced finance theories Ser-Huang Poon (Manchester University, UK) |
| title_full_unstemmed | Advanced finance theories Ser-Huang Poon (Manchester University, UK) |
| title_short | Advanced finance theories |
| title_sort | advanced finance theories |
| topic | Finance Finance Mathematical models Kapitalmarkt (DE-588)4029578-3 gnd Finanzierung (DE-588)4017182-6 gnd Theorie (DE-588)4059787-8 gnd |
| topic_facet | Finance Finance Mathematical models Kapitalmarkt Finanzierung Theorie Fallstudiensammlung |
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