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Principles of Financial Economics

Опубликовано на портале: 09-06-2006
Cambridge: Cambridge University Press, 2000, 280 с.
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.

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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