Financial Asset Pricing Theory P.pdf

Financial Asset Pricing Theory P PDF

Munk

Financial Asset Pricing Theory offers a comprehensive overview of the classic and the current research in theoretical asset pricing. Asset pricing is developed around the concept of a state-price deflator which relates the price of any asset to its future (risky) dividends and thus incorporates how to adjust for both time and risk in asset valuation. The willingness of any utility-maximizing investor to shift consumption over time defines a state-price deflator which provides a link between optimal consumption and asset prices that leads to the Consumption-based Capital Asset Pricing Model (CCAPM). A simple version of the CCAPM cannot explain various stylized asset pricing facts, but these asset pricing puzzles can be resolved by a number of recent extensions involving habit formation, recursive utility, multiple consumption goods, and long-run consumption risks. Other valuation techniques and modelling approaches (such as factor models, term structure models, risk-neutral valuation, and option pricing models) are explained and related to state-price deflators. The book will serve as a textbook for an advanced course in theoretical financial economics in a PhD or a quantitative Master of Science program. It will also be a useful reference book for researchers and finance professionals. The presentation in the book balances formal mathematical modelling and economic intuition and understanding. Both discrete-time and continuous-time models are covered. The necessary concepts and techniques concerning stochastic processes are carefully explained in a separate chapter so that only limited previous exposure to dynamic finance models is required.

1 This book gives an overview of the most widely used theories in asset pricing and some more recent developments. The aim of these theories is to determine the

1.39 MB DATEIGRÖSSE
9780198716457 ISBN
Kostenlos PREIS
Financial Asset Pricing Theory P.pdf

Technik

PC und Mac

Lesen Sie das eBook direkt nach dem Herunterladen über "Jetzt lesen" im Browser, oder mit der kostenlosen Lesesoftware Adobe Digital Editions.

iOS & Android

Für Tablets und Smartphones: Unsere Gratis tolino Lese-App

Andere eBook Reader

Laden Sie das eBook direkt auf dem Reader im www.brookfieldgardencentre.com.au Shop herunter oder übertragen Sie es mit der kostenlosen Software Sony READER FOR PC/Mac oder Adobe Digital Editions.

Reader

Öffnen Sie das eBook nach der automatischen Synchronisation auf dem Reader oder übertragen Sie es manuell auf Ihr tolino Gerät mit der kostenlosen Software Adobe Digital Editions.

Aktuelle Bewertungen

avatar
Sofya Voigtuh

Asset Pricing Theory and Tests - Edward Elgar …

avatar
Mattio Müllers

O que é CAPM. Significado, conceito, para que serve e como funciona. Saiba tudo sobre CAPM - Capital Asset Pricing Model. The cost of equity. Section E of the Study Guide for Financial Management contains several references to the Capital Asset Pricing Model (CAPM). This article ...

avatar
Noels Schulzen

was proposed as an alternative to the mean variance capital asset pricing model ... where p is the riskless rate of interest, X is the expected excess return ... by a grant from the Rodney L. White Center for Financial Research at the University. 16 Dec 2019 ... The Capital Asset Pricing Model (CAPM) provides a way to calculate the ... risks of the financial system where the whole economy goes down, ...

avatar
Jason Leghmann

Finance Theory and Asset Pricing - Frank Milne - … Finance Theory and Asset Pricing provides a concise guide to financial asset pricing theory for economists. Assuming a basic knowledge of graduate microeconomic theory, it explores the fundamental ideas that underlie competitive financial asset pricing models with symmetric information. Using finite dimensional techniques, this book avoids sophisticated mathematics and exploits …

avatar
Jessica Kolhmann

JOURNAL OF ECONOMIC THEORY 13, 341-360 (1976) The Arbitrage Theory of Capital Asset Pricing STEPHEN A. ROSS* Departments of Economics and Finance, University of Pennsylvania, The Wharton School, Philadelphia, Pennsylvania 19174 Received March 19, 1973; revised May 19, 1976 The purpose of this paper is to examine rigorously the arbitrage model of capital asset pricing developed in Ross [13, …