Asset pricing
Cochrane, John H.
Asset pricing John H. Cochrane. - Rev. ed. - Princeton, N.J. : Princeton University Press, ©2010. - xvii, 533 p. : ill. ; 24 cm.
Includes bibliographical references (p. 497-511) and indexes.
Consumption-based model and overview -- Applying the basic model -- Contingent claims markets -- The discount factor -- Mean-variance frontier and beta representations -- Relation between discount factors, betas, and mean-variance frontiers -- Implications of existence and equivalence theorems -- Conditioning information -- Factor pricing models -- GMM in explicit discount factor models -- GMM : general formulas and applications -- Regression-based tests of linear factor models -- GMM for linear factor models in discount factor form -- Maximum likelihood -- Time-series, cross-section, and GMM/DF tests of linear factor models -- Which method? -- Option pricing -- Option pricing without perfect replication -- Term structure of interest rates -- Expected returns in the time series and cross section -- Equity premium puzzle and consumption-based models -- Appendix: -- A.1 Brownian motion -- A.2 Diffusion model -- A.3 Ito's Lemma
9788122431247
2004050561
GBA483851 bnb
013045905 Uk
Capital assets pricing model.
Securities.
HG4636 / .C56 2005
332.6 / COC-A
Asset pricing John H. Cochrane. - Rev. ed. - Princeton, N.J. : Princeton University Press, ©2010. - xvii, 533 p. : ill. ; 24 cm.
Includes bibliographical references (p. 497-511) and indexes.
Consumption-based model and overview -- Applying the basic model -- Contingent claims markets -- The discount factor -- Mean-variance frontier and beta representations -- Relation between discount factors, betas, and mean-variance frontiers -- Implications of existence and equivalence theorems -- Conditioning information -- Factor pricing models -- GMM in explicit discount factor models -- GMM : general formulas and applications -- Regression-based tests of linear factor models -- GMM for linear factor models in discount factor form -- Maximum likelihood -- Time-series, cross-section, and GMM/DF tests of linear factor models -- Which method? -- Option pricing -- Option pricing without perfect replication -- Term structure of interest rates -- Expected returns in the time series and cross section -- Equity premium puzzle and consumption-based models -- Appendix: -- A.1 Brownian motion -- A.2 Diffusion model -- A.3 Ito's Lemma
9788122431247
2004050561
GBA483851 bnb
013045905 Uk
Capital assets pricing model.
Securities.
HG4636 / .C56 2005
332.6 / COC-A