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E-raamat: Asset Pricing and Portfolio Choice Theory

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(J. Howard Creekmore Professor of Finance, Jones School of Business, Rice University)
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Asset Pricing and Portfolio Choice TheorySuurem pilt
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In the 2nd edition of Asset Pricing and Portfolio Choice Theory, Kerry E. Back offers a concise yet comprehensive introduction to and overview of asset pricing. Intended as a textbook for asset pricing theory courses at the Ph.D. or Masters in Quantitative Finance level with extensive exercises and a solutions manual available for professors, the book is also an essential reference for financial researchers and professionals, as it includes detailed proofs and calculations as section appendices.

The first two parts of the book explain portfolio choice and asset pricing theory in single-period, discrete-time, and continuous-time models. For valuation, the focus throughout is on stochastic discount factors and their properties. A section on derivative securities covers the usual derivatives (options, forwards and futures, and term structure models) and also applications of perpetual options to corporate debt, real options, and optimal irreversible investment. A chapter on "explaining puzzles" and the last part of the book provide introductions to a number of additional current topics in asset pricing research, including rare disasters, long-run risks, external and internal habits, asymmetric and incomplete information, heterogeneous beliefs, and non-expected-utility preferences. Each chapter includes a "Notes and References" section providing additional pathways to the literature. Each chapter also includes extensive exercises.

Arvustused

"Kerry Back has created a masterful introduction to asset pricing and portfolio choice. The coverage of topics is comprehensive, starting in a single-period setting and then moving naturally to dynamic models in both discrete and continuous time. The numerous challenging exercises are yet another big strength. In short, an impressive achievement."

-- Robert F. Stambaugh, Miller Anderson & Sherrerd Professor of Finance, The Wharton School, University of Pennsylvania "Kerry Back offers us a rigorous, but accessible treatment of the asset pricing theory concepts that every doctoral student in finance should learn. A distinguished scholar in the field provides a presentation that is clear yet concise."

-- Eduardo Schwartz, California Chair in Real Estate and Land Economics, UCLA Anderson School of Management "In Asset Pricing and Portfolio Choice Theory Kerry Back has given us a comprehensive, rigorous and at the same time elegant and self-contained treatment of the important developments in this vast literature. It will be useful to graduate students and advanced undergraduate students in economics, finance, financial engineering, and management science as well as interested practitioners."

-- Ravi Jagannathan, Chicago Mercantile Exchange/John F. Sandner Professor of Finance and a Co-Director of the Financial Institutions and Markets Research Center, Kellogg School of Management, Northwestern University

Preface to the First Edition xv
Preface to the Second Edition xvi
Asset Pricing and Portfolio Puzzles xvii
PART ONE Single-Period Models
1 Utility and Risk Aversion
3(24)
1.1 Utility Functions and Risk Aversion
4(4)
1.2 Certainty Equivalents and Second-Order Risk Aversion
8(3)
1.3 Linear Risk Tolerance
11(5)
1.4 Utility and Wealth Moments
16(1)
1.5 Risk Aversion for Increments to Random Wealth
17(2)
1.6 Notes and References
19(8)
2 Portfolio Choice
27(25)
2.1 First-Order Condition
29(3)
2.2 Single Risky Asset
32(3)
2.3 Multiple Risky Assets
35(3)
2.4 CARA-Normal Model
38(3)
2.5 Mean-Variance Preferences
41(2)
2.6 Linear Risk Tolerance and Wealth Expansion Paths
43(4)
2.7 Beginning-of-Period Consumption
47(1)
2.8 Notes and References
48(4)
3 Stochastic Discount Factors
52(27)
3.1 Basic Relationships Regarding SDFs
53(3)
3.2 Arbitrage, the Law of One Price, and Existence of SDFs
56(3)
3.3 Complete Markets and Uniqueness of the SDF
59(2)
3.4 Risk-Neutral Probabilities
61(1)
3.5 Orthogonal Projections of SDFs onto the Asset Span
62(5)
3.6 Hansen-Jagannathan Bounds
67(3)
3.7 Hedging and Optimal Portfolios with Quadratic Utility
70(2)
3.8 Hilbert Spaces and Gram-Schmidt Orthogonalization
72(3)
3.9 Notes and References
75(4)
4 Equilibrium and Efficiency
79(20)
4.1 Pareto Optima
80(3)
4.2 Competitive Equilibria
83(1)
4.3 Complete Markets
84(2)
4.4 Aggregation and Efficiency with Linear Risk Tolerance
86(7)
4.5 Beginning-of-Period Consumption
93(2)
4.6 Notes and References
95(4)
5 Mean-Variance Analysis
99(28)
5.1 Graphical Analysis
100(1)
5.2 Mean-Variance Frontier of Risky Assets
101(5)
5.3 Mean-Variance Frontier with a Risk-Free Asset
106(5)
5.4 Orthogonal Projections and Frontier Returns
111(6)
5.5 Frontier Returns and Stochastic Discount Factors
117(1)
5.6 Separating Distributions
118(4)
5.7 Notes and References
122(5)
6 Factor Models
127(35)
6.1 Capital Asset Pricing Model
128(7)
6.2 General Factor Models
135(7)
6.3 Jensen's Alpha and Performance Evaluation
142(3)
6.4 Statistical Factors
145(2)
6.5 Arbitrage Pricing Theory
147(3)
6.6 Empirical Performance of Popular Models
150(5)
6.7 Notes and References
155(7)
7 Representative Investors
162(21)
7.1 Pareto Optimality Implies a Representative Investor
163(2)
7.2 Linear Risk Tolerance
165(2)
7.3 Consumption-Based Asset Pricing
167(4)
7.4 Coskewness-Cokurtosis Pricing Model
171(1)
7.5 Rubinstein Option Pricing Model
172(3)
7.6 Notes and References
175(8)
PART TWO Dynamic Models
8 Dynamic Securities Markets
183(19)
8.1 Portfolio Choice Model
184(3)
8.2 Stochastic Discount Factor Processes
187(5)
8.3 Arbitrage and the Law of One Price
192(1)
8.4 Complete Markets
192(3)
8.5 Bubbles, Transversality Conditions, and Ponzi Schemes
195(3)
8.6 Inflation and Foreign Exchange
198(1)
8.7 Notes and References
198(4)
9 Dynamic Portfolio Choice
202(31)
9.1 Euler Equation
202(3)
9.2 Static Approach in Complete Markets
205(1)
9.3 Orthogonal Projections for Quadratic Utility
206(2)
9.4 Introduction to Dynamic Programming
208(4)
9.5 Dynamic Programming for Portfolio Choice
212(7)
9.6 CRRA Utility with IID Returns
219(8)
9.7 Notes and References
227(6)
10 Dynamic Asset Pricing
233(27)
10.1 CAPM, CCAPM, and ICAPM
234(12)
10.2 Testing Conditional Models
246(1)
10.3 Competitive Equilibria
247(2)
10.4 Gordon Model and Representative Investors
249(2)
10.5 Campbell-Shiller Linearization
251(3)
10.6 Risk-Neutral Probabilities
254(2)
10.7 Notes and References
256(4)
11 Explaining Puzzles
260(29)
11.1 External Habits
260(6)
11.2 Rare Disasters
266(2)
11.3 Epstein-Zin-Weil Utility
268(8)
11.4 Long-Run Risks
276(3)
11.5 Uninsurable Labor Income Risk
279(4)
11.6 Notes and References
283(6)
12 Brownian Motion and Stochastic Calculus
289(29)
12.1 Brownian Motion
290(2)
12.2 Ito Integral and Ito Processes
292(6)
12.3 Martingale Representation
298(1)
12.4 Ito's Formula
299(4)
12.5 Geometric Brownian Motion
303(2)
12.6 Covariation of Ito Processes and General Ito's Formula
305(3)
12.7 Conditional Variances and Covariances
308(1)
12.8 Transformations of Models
309(2)
12.9 Notes and References
311(7)
13 Continuous-Time Markets
318(24)
13.1 Asset Price Dynamics
318(4)
13.2 Intertemporal Budget Constraint
322(1)
13.3 Stochastic Discount Factor Processes
323(7)
13.4 Valuation via SDF Processes
330(3)
13.5 Complete Markets
333(2)
13.6 Markovian Model
335(1)
13.7 Real and Nominal SDFs and Interest Rates
336(1)
13.8 Notes and References
337(5)
14 Continuous-Time Portfolio Choice and Pricing
342(25)
14.1 Euler Equation
343(1)
14.2 Representative Investor Pricing
343(1)
14.3 Static Approach to Portfolio Choice
344(5)
14.4 Introduction to Dynamic Programming
349(3)
14.5 Markovian Portfolio Choice
352(5)
14.6 CCAPM, ICAPM, and CAPM
357(3)
14.7 Notes and References
360(7)
15 Continuous-Time Topics
367(34)
15.1 Fundamental Partial Differential Equation
367(2)
15.2 Fundamental PDE and Optimal Portfolio
369(1)
15.3 Risk-Neutral Probabilities
370(4)
15.4 Jump Risks
374(6)
15.5 Internal Habits
380(7)
15.6 Verification Theorem
387(3)
15.7 Notes and References
390(11)
PART THREE Derivative Securities
16 Option Pricing
401(31)
16.1 Uses of Options and Put-Call Parity
403(3)
16.2 "No Arbitrage" Assumptions
406(1)
16.3 Changing Probabilities
407(2)
16.4 Black-Scholes Formula
409(4)
16.5 Fundamental Partial Differential Equation
413(2)
16.6 Delta Hedging and Greeks
415(4)
16.7 American Options and Smooth Pasting
419(4)
16.8 Dividends
423(1)
16.9 Notes and References
424(8)
17 Forwards, Futures, and More Option Pricing
432(26)
17.1 Forward Measures
432(1)
17.2 Forwards and Futures
433(4)
17.3 Margrabe, Black, and Merton Formulas
437(6)
17.4 Implied and Local Volatilities
443(2)
17.5 Stochastic Volatility
445(4)
17.6 Notes and References
449(9)
18 Term Structure Models
458(27)
18.1 Forward Rates
459(1)
18.2 Factor Models and the Fundamental PDE
460(1)
18.3 Affine Models
461(8)
18.4 Quadratic Models
469(1)
18.5 Expectations Hypotheses
469(5)
18.6 Fitting the Yield Curve and HJM Models
474(3)
18.7 Notes and References
477(8)
19 Perpetual Options and the Leland Model
485(28)
19.1 Perpetual Options
486(6)
19.2 More Time-Independent Derivatives
492(2)
19.3 Perpetual Debt with Endogenous Default
494(4)
19.4 Optimal Static Capital Structure
498(2)
19.5 Optimal Dynamic Capital Structure
500(5)
19.6 Finite Maturity Debt
505(4)
19.7 Notes and References
509(4)
20 Real Options and q Theory
513(40)
20.1 An Indivisible Investment Project
515(3)
20.2 q Theory
518(6)
20.3 Irreversible Investment as a Series of Real Options
524(6)
20.4 Dynamic Programming for Irreversible Investment
530(5)
20.5 Irreversible Investment and Perfect Competition
535(6)
20.6 Berk-Green-Naik Model
541(5)
20.7 Notes and References
546(7)
PART FOUR Beliefs, Information, and Preferences
21 Heterogeneous Beliefs
553(16)
21.1 State-Dependent Utility Formulation
554(1)
21.2 Aggregation in Single-Period Markets
555(3)
21.3 Aggregation in Dynamic Markets
558(4)
21.4 Short Sales Constraints and Overpricing
562(2)
21.5 Speculative Trade and Bubbles
564(1)
21.6 Notes and References
565(4)
22 Rational Expectations Equilibria
569(22)
22.1 No-Trade Theorem
570(3)
22.2 Normal-Normal Updating
573(4)
22.3 Fully Revealing Equilibria
577(1)
22.4 Grossman-Stiglitz Model
578(5)
22.5 Hellwig Model
583(3)
22.6 Notes and References
586(5)
23 Learning
591(22)
23.1 Estimating an Unknown Drift
592(2)
23.2 Portfolio Choice with an Unknown Expected Return
594(3)
23.3 More Filtering Theory
597(6)
23.4 Learning Expected Consumption Growth
603(2)
23.5 A Regime-Switching Model
605(3)
23.6 Notes and References
608(5)
24 Information, Strategic Trading, and Liquidity
613(38)
24.1 Glosten-Milgrom Model
614(2)
24.2 Kyle Model
616(4)
24.3 Glosten Model of Limit Order Markets
620(4)
24.4 Auctions
624(8)
24.5 Continuous-Time Kyle Model
632(10)
24.6 Notes and References
642(9)
25 Alternative Preferences
651(28)
25.1 Experimental Paradoxes
652(6)
25.2 Betweenness Preferences
658(5)
25.3 Rank-Dependent Preferences
663(2)
25.4 First-Order Risk Aversion
665(1)
25.5 Ambiguity Aversion
666(7)
25.6 Notes and References
673(6)
Appendices
A Some Probability and Stochastic Process Theory
679(12)
A.1 Random Variables
679(1)
A.2 Probabilities
680(1)
A.3 Distribution Functions and Densities
681(1)
A.4 Expectations
681(1)
A.5 Convergence of Expectations
682(1)
A.6 Interchange of Differentiation and Expectation
683(1)
A.7 Random Vectors
684(1)
A.8 Conditioning
685(1)
A.9 Independence
686(1)
A.10 Equivalent Probability Measures
687(1)
A.11 Filtrations, Martingales, and Stopping Times
688(1)
A.12 Martingales under Equivalent Measures
688(1)
A.13 Local Martingales
689(1)
A.14 The Usual Conditions
690(1)
Bibliography 691(24)
Index 715
Kerry Back is the J. Howard Creekmore Professor of Finance at Rice University's Jones Graduate School of Business and a Professor of Economics in the Rice University School of Social Sciences. He previously served on the faculties of Northwestern University, Indiana University, Washington University in St. Louis, and Texas A&M University. At Washington University in St. Louis, he served as the Associate Dean for Academic Affairs of the Olin School of Business and was named a University Distinguished Faculty Member. He received faculty research awards at Texas A&M and at Rice University. Currently, he teaches introductory and advanced asset pricing theory to PhD students in the Jones School and in the Department of Economics. His research interests are in the areas of investments and market design, and he has served as an editor of the Review of Financial Studies, a co-editor of Finance & Stochastics, and an associate editor of the Journal of Finance and other journals.
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