Stephen F. Leroy

Principles of Financial Economics (eBook, ePUB)

• Format: ePub

Produktbeschreibung

This second edition provides a rigorous yet accessible graduate-level introduction to financial economics. Since students often find the link between financial economics and equilibrium theory hard to grasp, less attention is given to purely financial topics, such as valuation of derivatives, and more emphasis is placed on making the connection with equilibrium theory explicit and clear. This book also provides a detailed study of two-date models because almost all of the key ideas in financial economics can be developed in the two-date setting. Substantial discussions and examples are included to make the ideas readily understandable. Several chapters in this new edition have been reordered and revised to deal with portfolio restrictions sequentially and more clearly, and an extended discussion on portfolio choice and optimal allocation of risk is available. The most important additions are new chapters on infinite-time security markets, exploring, among other topics, the possibility of price bubbles.

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Produktdetails

• Verlag: Cambridge University Press
• Erscheinungstermin: 11. August 2014
• Englisch
• ISBN-13: 9781316053775
• Artikelnr.: 49269119

Autorenporträt

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.