Asset pricing and portfolio choice theory /
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Main Authors: | |
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Published: |
Oxford University Press,
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Publisher Address: | New York, NY : |
Publication Dates: | [2017] |
Literature type: | Book |
Language: | English |
Edition: | Second edition. |
Series: |
Financial Management Association survey and synthesis series
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Subjects: | |
Carrier Form: | xxi, 722 pages : illustrations ; 25 cm. |
Bibliography: | Includes bibliographical references (pages 691-713) and index. |
ISBN: |
9780190241148 0190241144 |
Index Number: | HG4636 |
CLC: | F830.9 |
Call Number: | F830.9/B126/2nd ed. |
Contents: | Utility and risk aversion -- Portfolio choice -- Stochastic discount factors -- Equilibrium and efficiency -- Mean-variance analysis -- Factor models -- Representative investors -- Dynamic securities markets -- Dynamic portfolio choice -- Dynamic asset pricing -- Explaining puzzles -- Brownian motion and stochastic calculus -- Continuous-time markets -- Continuous-time portfolio choice and pricing -- Continuous-time topics -- Option pricing -- Forwards, futures, and more option pricing -- Term structure models -- Perpetual options and the Leland model -- Real options and q theory -- Heterogeneous beliefs -- Rational expectations equilibria -- Learning -- Information, strategic trading, and liquidity -- Alternative preferences. |