Asset pricing and portfolio choice theory Second Edition Kerry 0190241152 9780190241155

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Product details:

• ISBN 10: 0190241152
• ISBN 13: 9780190241155
• Author: Kerry E. Back

In the 2nd edition of Asset Pricing and Portfolio Choice Theory, Kerry E. Back offers a concise yet comprehensive introduction to and overview of asset pricing. Intended as a textbook for asset pricing theory courses at the Ph.D. or Masters in Quantitative Finance level with extensive exercises and a solutions manual available for professors, the book is also an essential reference for financial researchers and professionals, as it includes detailed proofs and calculations as section appendices. The first two parts of the book explain portfolio choice and asset pricing theory in single-period, discrete-time, and continuous-time models. For valuation, the focus throughout is on stochastic discount factors and their properties. A section on derivative securities covers the usual derivatives (options, forwards and futures, and term structure models) and also applications of perpetual options to corporate debt, real options, and optimal irreversible investment. A chapter on “explaining puzzles” and the last part of the book provide introductions to a number of additional current topics in asset pricing research, including rare disasters, long-run risks, external and internal habits, asymmetric and incomplete information, heterogeneous beliefs, and non-expected-utility preferences. Each chapter includes a “Notes and References” section providing additional pathways to the literature. Each chapter also includes extensive exercises.

Table of contents:

1 Utility and Risk Aversion
2 Portfolio Choice
3 Stochastic Discount Factors
4 Equilibrium and Efficiency
5 Mean-Variance Analysis
6 Factor Models
7 Representative Investors
8 Dynamic Securities Markets
9 Dynamic Portfolio Choice
10 Dynamic Asset Pricing
11 Explaining Puzzles
12 Brownian Motion and Stochastic Calculus
13 Continuous-Time Markets
14 Continuous-Time Portfolio Choice and Pricing
15 Continuous-Time Topics
16 Option Pricing
17 Forwards, Futures, and More Option Pricing
18 Term Structure Models
19 Perpetual Options and the Leland Model
20 Real Options and q Theory
21 Heterogeneous Beliefs
22 Rational Expectations Equilibria
23 Learning
24 Information, Strategic Trading, and Liquidity
25 Alternative Preferences

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