Screen LibraryAsset pricing
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| Main Authors: | |
|---|---|
| Published: |
Princeton University Press,
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| Publisher Address: | Princeton, N.J. |
| Publication Dates: | 2005. |
| Literature type: | Book |
| Language: | English |
| Edition: | Rev. ed. |
| Subjects: | |
| Carrier Form: | xvii, 533 p.: ill. ; 24 cm. |
| ISBN: | 0691121370 (cl : alk. paper) |
| Index Number: | F830 |
| CLC: |
F830.9 F830.59 |
| Call Number: | F830.59/C663/rev.ed. |
| Contents: |
Includes bibliographical references (p. 497-511) and indexes. Consumption-based model and overview -- Applying the basic model -- Contingent claims markets -- The discount factor -- Mean-variance frontier and beta representations -- Relation between discount factors, betas, and mean-variance frontiers -- Implications of existence and equivalence theorems -- Conditioning information -- Factor pricing models -- GMM in explicit discount factor models -- GMM : general formulas and applications -- Regression-based tests of linear factor models -- GMM for linear factor models in discount factor form -- Maximum likelihood -- Time-series, cross-section, and GM |