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eISBN : 9780511555886

Sommaire : 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.

Langue : Anglais

Lieu d'édition : CAMBRIDGE

Localisation : Bibliothèque Campus de Nice

Support : Numérique

Etat : Présent

Propriétaire : Bibliothèque