Principles of Financial Economics
Forew. by Stephen A. Ross
(Sprache: Englisch)
This graduate-level introduction links financial economics with equilibrium theory and emphasises two-date models.
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Produktinformationen zu „Principles of Financial Economics “
This graduate-level introduction links financial economics with equilibrium theory and emphasises two-date models.
Klappentext zu „Principles of Financial Economics “
Financial economics, and the calculations of time and uncertainty derived from it, are playing an increasingly important role in non-finance areas, such as monetary and environmental economics. Professors Le Roy and Werner here supply a rigorous yet accessible graduate-level introduction to this subfield of microeconomic theory and general equilibrium theory. Since students often find the link between financial economics and equilibrium theory hard to grasp, they devote less attention to purely financial topics such as calculation of derivatives, while aiming to make the connection explicit and clear in each stage of the exposition. Emphasis is placed on detailed study of two-date models, because almost all of the key ideas in financial economics can be developed in the two-date setting. In addition to rigorous analysis, substantial sections of discussion and examples are included to make the ideas readily understandable.
Inhaltsverzeichnis zu „Principles of Financial Economics “
From the 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 s ecurity 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
Bibliographische Angaben
- Autoren: Stephen F. LeRoy , Jan Werner
- 2001, XX, 280 Seiten, mit zahlreichen Abbildungen, Maße: 17,8 x 25,3 cm, Kartoniert (TB), Englisch
- Verlag: Cambridge University Press
- ISBN-10: 0521586054
- ISBN-13: 9780521586054
Sprache:
Englisch
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