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Principles of financial economics

By: Contributor(s): Publication details: Cambridge Cambridge University Press 2001Description: 280p xvISBN:
  • 9780521586064
Subject(s): DDC classification:
  • 332.210000 LER
Contents:
Contents Part I. Equilibrium and Arbitrage: 1. General equilibrium in security markets; 2. Linear pricing; 3. Arbitrage and positive pricing; 4. Portfolio restrictions; Part II. Valuation: 5. Valuation; 6. State prices and risk-neutral probabilities; 7. Valuation under portfolio restrictions; Part III. Risk: 8. Expected utility; 9. Risk aversion; 10. Risk; Part IV. Optimal Portfolios: 11. Optimal portfolios with one risky security; 12. Comparative statics of optimal portfolios; 13. Optimal portfolios with several risky securities; Part V. Equilibrium Prices and Allocations: 14. Consumption-based security pricing; 15. Complete markets and Pareto-optimal allocations of risk; 16. Optimality in incomplete security markets; Part VI. Mean-Variance Models: 17. The expectations and pricing kernels; 18. The mean-variance frontier payoffs; 19. CAPM; 20. Factor pricing; Part VII. Multidate Models: 21. A multidate model of security markets; 22. Multidate arbitrage and positivity; 23. Dynamically complete markets; 24. Valuation; 25. Event process, risk-neutral probabilities and the pricing kernel; 26. Security gains as martingales; 27. Consumption-based security pricing; 28. The frontier payoffs and the CAPM.
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BOOKs NLS Library Compactors 332.21 LER (Browse shelf(Opens below)) Available 18332

Contents
Part I. Equilibrium and Arbitrage:
1. General equilibrium in security markets;
2. Linear pricing;
3. Arbitrage and positive pricing;
4. Portfolio restrictions;
Part II. Valuation:
5. Valuation;
6. State prices and risk-neutral probabilities;
7. Valuation under portfolio restrictions;
Part III. Risk: 8. Expected utility;
9. Risk aversion;
10. Risk;
Part IV. Optimal Portfolios:
11. Optimal portfolios with one risky security;
12. Comparative statics of optimal portfolios;
13. Optimal portfolios with several risky securities;
Part V. Equilibrium Prices and Allocations:
14. Consumption-based security pricing;
15. Complete markets and Pareto-optimal allocations of risk;
16. Optimality in incomplete security markets;
Part VI. Mean-Variance Models:
17. The expectations and pricing kernels;
18. The mean-variance frontier payoffs;
19. CAPM;
20. Factor pricing;
Part VII. Multidate Models:
21. A multidate model of security markets;
22. Multidate arbitrage and positivity;
23. Dynamically complete markets;
24. Valuation;
25. Event process, risk-neutral probabilities and the pricing kernel;
26. Security gains as martingales;
27. Consumption-based security pricing;
28. The frontier payoffs and the CAPM.

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