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Based on formal derivations of financial theory, this volume provides a rigorous exploration of individual's consumption and portfolio decisions under uncertainty. Features in-depth coverage of such topics as: concepts of risk aversion and stochastic dominance; mathematical properties of a portfolio frontier; distributional conditions for mutual fund separation; capital asset pricing models and arbitrage pricing models; general pricing rules for securities that pay off in more than one state of nature; the pricing of options; rational expectation models of risky asset prices; signaling models; how multiperiod dynamic economies can be modeled; a multiperiod economy with emphasis on valuation by arbitrage; econometric issues associated with testing capital asset pricing models. For readers interested in a rigorous overview of financial economicsn individual consumption point of view. …• 1988
Buchkauf
Foundations for financial economics, Chi fu Huang, Robert H. Litzenberger
- Sprache
- Erscheinungsdatum
- 1998
- product-detail.submit-box.info.binding
- (Paperback)
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- Titel
- Foundations for financial economics
- Sprache
- Englisch
- Autor*innen
- Chi fu Huang, Robert H. Litzenberger
- Verlag
- Prentice-Hall
- Erscheinungsdatum
- 1998
- Einband
- Paperback
- Seitenzahl
- 364
- ISBN10
- 0135006538
- ISBN13
- 9780135006535
- Reihe
- Schlagwörter
- Sachbücher, Handel, Wirtschaft & Management, Ökonomie, Finanzen
- Bewertung
- 3,5 von 5 Sternen
- Beschreibung
- Based on formal derivations of financial theory, this volume provides a rigorous exploration of individual's consumption and portfolio decisions under uncertainty. Features in-depth coverage of such topics as: concepts of risk aversion and stochastic dominance; mathematical properties of a portfolio frontier; distributional conditions for mutual fund separation; capital asset pricing models and arbitrage pricing models; general pricing rules for securities that pay off in more than one state of nature; the pricing of options; rational expectation models of risky asset prices; signaling models; how multiperiod dynamic economies can be modeled; a multiperiod economy with emphasis on valuation by arbitrage; econometric issues associated with testing capital asset pricing models. For readers interested in a rigorous overview of financial economicsn individual consumption point of view. …• 1988