Asset Pricing Theory / Costis Skiadas.

Format:

Book

Author/Creator:

Skiadas, Costis, author.

Series:

Princeton series in finance.

Princeton Series in Finance

Language:

English

Subjects (All):

Finance--Mathematical models.

Finance.

Capital assets pricing model.

Genre:

Electronic books.

Physical Description:

1 online resource (363 p.)

Place of Publication:

Princeton, NJ : Princeton University Press, [2009]

Language Note:

English

Summary:

Asset Pricing Theory is an advanced textbook for doctoral students and researchers that offers a modern introduction to the theoretical and methodological foundations of competitive asset pricing. Costis Skiadas develops in depth the fundamentals of arbitrage pricing, mean-variance analysis, equilibrium pricing, and optimal consumption/portfolio choice in discrete settings, but with emphasis on geometric and martingale methods that facilitate an effortless transition to the more advanced continuous-time theory. Among the book's many innovations are its use of recursive utility as the benchmark representation of dynamic preferences, and an associated theory of equilibrium pricing and optimal portfolio choice that goes beyond the existing literature. Asset Pricing Theory is complete with extensive exercises at the end of every chapter and comprehensive mathematical appendixes, making this book a self-contained resource for graduate students and academic researchers, as well as mathematically sophisticated practitioners seeking a deeper understanding of concepts and methods on which practical models are built. Covers in depth the modern theoretical foundations of competitive asset pricing and consumption/portfolio choice Uses recursive utility as the benchmark preference representation in dynamic settings Sets the foundations for advanced modeling using geometric arguments and martingale methodology Features self-contained mathematical appendixes Includes extensive end-of-chapter exercises

Contents:

Frontmatter

Contents

Preface

Notation and Conventions

PART ONE. SINGLE-PERIOD ANALYSIS

CHAPTER ONE. Financial Market and Arbitrage

CHAPTER TWO. Mean-Variance Analysis

CHAPTER THREE. Optimality and Equilibrium

CHAPTER FOUR. Risk Aversion

PART TWO. DISCRETE DYNAMICS

CHAPTER FIVE. Dynamic Arbitrage Pricing

CHAPTER SIX. Dynamic Optimality and Equilibrium

PART THREE. MATHEMATICAL BACKGROUND

APPENDIX A. Optimization Principles

APPENDIX B. Discrete Stochastic Analysis

Bibliography

Index

Notes:

Description based upon print version of record.

Includes bibliographical references (p. 327-339) and index.

Description based on online resource; title from PDF title page (publisher's Web site, viewed 20. Jun 2019)

ISBN:

9786612935596

9781282935594

1282935593

9781400830145

1400830141

OCLC:

699474620