Principles of financial economics / Stephen F. LeRoy, Jan Werner ; foreword by Stephen A. Ross.

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Bibliographic Details
Main Authors: LeRoy, Stephen F. (Author), Werner, Jan (Author)
Format: Book
Language:English
Published: Cambridge ; New York : Cambridge University Press, 2001.
Subjects:
Table of Contents:
  • 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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  • Call Number:
    332 LER
    Copy
    Available - City Campus Main Collection
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