|aAsset pricing and portfolio choice theory /|cKerry E. Back.
260
|aOxford ;|aNew York :|bOxford University Press,|c2010.
300
|axvi, 487 pages :|billustrations ;|c25 cm.
336
|atext|btxt|2rdacontent
337
|aunmediated|bn|2rdamedia
338
|avolume|bnc|2rdacarrier
490
0
|aFinancial Management Association survey and synthesis series
504
|aIncludes bibliographical references and index.
505
0
|aI. Single-period models. Utility functions and risk aversion coefficients ; Portfolio choice and stochastic discount factors ; Equilibrium and efficiency ; Arbitrage and stochastic discount factors ; Mean-variance analysis ; Beta pricing models ; Representative investors -- II. Dynamic models. Dynamic securities markets ; Portfolio choice by dynamic programming ; Conditional Beta pricing models ; Some dynamic equilibrium models ; Brownian motion and stochastic calculus ; Securities markets in continuous time ; Continuous-time portfolio choice and Beta pricing -- III. Derivative securities. Option pricing ; Forwards, futures, and more option pricing ; Term structure models -- IV. Topics. Heterogeneous priors ; Asymmetric information ; Alternative preferences in single-period models ; Alternative preferences in dynamic models ; Production models -- Appendices. A. Some probability and stochastic process theory.
520
|a"Kerry Back has created a masterful introduction to asset pricing and portfolio choice. It is easy to foresee this text becoming a new standard in finance PhD courses as well as a valued reference for seasoned finance scholars everywhere. 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 Wharlon School, University of Pennsylvania.
520
|aIn Asset Pricing and Portfolio Choice Theory, Kerry E. Back at last offers what is at once a welcoming introduction to and a comprehensive overview of asset pricing. Useful as a textbook for graduate students in finance, with extensive exercises and a solutions manual available for professors, the book will also serve as an essential reference for scholars and professionals, as it includes detailed proofs and calculations as section appendices.
This book is intended as a textbook for Ph.D. students in finance and as a reference book for academics. It is written at an introductory level but includes detailed proofs and calculations as section appendices. It covers the classical results on single-period, discrete-time, and continuous-time models. It also treats various proposed explanations for the equity premium and risk-free rate puzzles: persistent heterogeneous idiosyncratic risks, internal habits, external habits, and recursive utility. Most of the book assumes rational behavior, but two topics important for behavioral finance are covered: heterogeneous beliefs and non-expected-utility preferences. There are also chapters on asymmetric information and production models. The book includes numerous exercises designed to provide practice with the concepts and also to introduce additional results. Each chapter concludes with a notes and references section that supplies references to additional developments in the field.