Stephen F. LeRoy is Professor of Economics Emeritus at the University of California, Santa Barbara. Early in his career, he was an economist in the research departments of the Federal Reserve Bank of Kansas City and the Board of Governors of the Federal Reserve System. He then moved to the economics department at the University of California, Santa Barbara. He also served as Carlson Professor of Finance in the Carlson School of Management, University of Minnesota. He has had visiting appointments at the University of California, Berkeley, the University of California, Davis, the California Institute of Technology, and the University of Chicago. He earned his PhD in economics from the University of Pennsylvania.
Inhaltsangabe
Preface Part I. Equilibrium and Arbitrage: 1. Equilibrium in security markets 2. Linear pricing 3. Arbitrage and positive pricing Part II. Valuation: 4. Valuation 5. State prices and risk-neutral probabilities Part III. Portfolio Restrictions: 6. Portfolio restrictions 7. Valuation under portfolio restrictions Part IV. Risk: 8. Expected utility 9. Risk aversion 10. Risk Part V. Optimal Portfolios: 11. Optimal portfolios with one risky security 12. Comparative statics of optimal portfolios 13. Optimal portfolios with several risky securities Part VI. Equilibrium Prices and Allocations: 14. Consumption-based security pricing 15. Complete markets and Pareto-optimal allocations of risk 16. Optimality in incomplete markets Part VII. Mean-Variance Analysis: 17. The expectations and pricing kernels 18. The mean-variance frontier payoffs 19. Capital asset pricing model 20. Factor pricing Part VIII. Multidate Security Markets: 21. Equilibrium in multidate security markets 22. Multidate arbitrage and positivity 23. Dynamically complete markets 24. Valuation Part IX. Martingale Property of Security Prices: 25. Event prices, risk-neutral probabilities, and the pricing kernel 26. Martingale property of gains 27. Conditional consumption-based security pricing 28. Conditional beta pricing and the CAPM Part X. Infinite-Time Security Markets: 29. Equilibrium in infinite-time security markets 30. Arbitrage, valuation, and price bubbles 31. Arrow-Debreu equilibrium in infinite time.
Preface Part I. Equilibrium and Arbitrage: 1. Equilibrium in security markets 2. Linear pricing 3. Arbitrage and positive pricing Part II. Valuation: 4. Valuation 5. State prices and risk-neutral probabilities Part III. Portfolio Restrictions: 6. Portfolio restrictions 7. Valuation under portfolio restrictions Part IV. Risk: 8. Expected utility 9. Risk aversion 10. Risk Part V. Optimal Portfolios: 11. Optimal portfolios with one risky security 12. Comparative statics of optimal portfolios 13. Optimal portfolios with several risky securities Part VI. Equilibrium Prices and Allocations: 14. Consumption-based security pricing 15. Complete markets and Pareto-optimal allocations of risk 16. Optimality in incomplete markets Part VII. Mean-Variance Analysis: 17. The expectations and pricing kernels 18. The mean-variance frontier payoffs 19. Capital asset pricing model 20. Factor pricing Part VIII. Multidate Security Markets: 21. Equilibrium in multidate security markets 22. Multidate arbitrage and positivity 23. Dynamically complete markets 24. Valuation Part IX. Martingale Property of Security Prices: 25. Event prices, risk-neutral probabilities, and the pricing kernel 26. Martingale property of gains 27. Conditional consumption-based security pricing 28. Conditional beta pricing and the CAPM Part X. Infinite-Time Security Markets: 29. Equilibrium in infinite-time security markets 30. Arbitrage, valuation, and price bubbles 31. Arrow-Debreu equilibrium in infinite time.
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