Asset pricing and portfolio choice theory
"Kerry Back has created a masterful introduction to asset pricing and portfolio choice. It is easy to foresee this text becoming a new standard in finance PhD courses as well as a valued reference for seasoned finance scholars everywhere. The coverage of topics is comprehensive, starting in a single-period setting and then moving naturally to dynamic models in both discrete and continuous time. The numerous challenging exercises are yet another big strength. In short, an impressive achievement.…
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- Full title :Asset pricing and portfolio choice theory / Kerry E. Back.
Summary
"Kerry Back has created a masterful introduction to asset pricing and portfolio choice. It is easy to foresee this text becoming a new standard in finance PhD courses as well as a valued reference for seasoned finance scholars everywhere. The coverage of topics is comprehensive, starting in a single-period setting and then moving naturally to dynamic models in both discrete and continuous time. The numerous challenging exercises are yet another big strength. In short, an impressive achievement." Robert F. Stambaugh, Miller Anderson & Sherrerd Professor of Finance, The Wharlon School, University of Pennsylvania.
"Kerry Back offers us a rigorous but accessible treatment of the asset pricing theory concepts that every doctoral student in finance should learn. A distinguished scholar in the field provides a presentation that is clear yet concise, and, at the end of each chapter, exercises that are an invaluable pedagogical tool for both students and instructors." Eduardo Schwartz, California Chair in Real Estate and Land Economics, UCLA Anderson School of Management.
"In Asset Pricing and Portfolio Choice Theory Kerry Back has given us a comprehensive, rigorous, and at the same time elegant and self-contained treatment of the important developments in this vast literature, It will be useful to graduate students and advanced undergraduate students in economics, finance, financial engineering, and management science as well as interested practitioners." Ravi Jagannathan, Chicago Mercantile Exchange/John F. Sandner Professor of Finance and a Codirector of the Financial Institutions and Markets Research Center, Kellogg School of Management, Northwestern University.
In Asset Pricing and Portfolio Choice Theory, Kerry E. Back at last offers what is at once a welcoming introduction to and a comprehensive overview of asset pricing. Useful as a textbook for graduate students in finance, with extensive exercises and a solutions manual available for professors, the book will also serve as an essential reference for scholars and professionals, as it includes detailed proofs and calculations as section appendices.
Topics covered include the classical results on single-period, discrete-time, and continuous-time models, as well as various proposed explanations for the equity premium and risk-free rate puzzles and chapters on heterogeneous beliefs, asymmetric information, nonexpected utility preferences, and production models. The book includes numerous exercises designed to provide practice with the concepts and to introduce additional results. Each chapter concludes with a notes and references section that supplies pathways to additional developments in the field. --Book Jacket.
Edition Statements
- Publication Date:2010.
Publication Statements
- Publisher(s):Oxford University Press
- Place of Publication:Oxford
- Language:eng
- Publication Date:2010.
The Physical Object
- Description:xvi, 487 pages : : illustrations ; : 24 cm.
Edition Identifiers
- ISBN:9780195380613, 0195380614
- oclc:ocn438053193
- LC Classification:HG4636
- Dewey Decimal:332.63/2042
Table of Contents
I. Single-period models. Utility functions and risk aversion coefficients ; Portfolio choice and stochastic discount factors ; Equilibrium and efficiency ; Arbitrage and stochastic discount factors ; Mean-variance analysis ; Beta pricing models ; Representative investors -- II. Dynamic models. Dynamic securities markets ; Portfolio choice by dynamic programming ; Conditional Beta pricing models ; Some dynamic equilibrium models ; Brownian motion and stochastic calculus ; Securities markets in continuous time ; Continuous-time portfolio choice and Beta pricing -- III. Derivative securities. Option pricing ; Forwards, futures, and more option pricing ; Term structure models -- IV. Topics. Heterogeneous priors ; Asymmetric information ; Alternative preferences in single-period models ; Alternative preferences in dynamic models ; Production models -- Appendices. A. Some probability and stochastic process theory.
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