Principles of financial economics / Stephen F. LeRoy, Jan Werner ; foreword by Stephen A. Ross.
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| Main Authors: | , |
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| Format: | Book |
| Language: | English |
| Published: |
Cambridge ; New York :
Cambridge University Press,
2001.
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| 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.