Foundations for Financial Economics / Edition 1by Chi-fu Huang, Robert H. Litzenberger
Pub. Date: 01/22/1998
Publisher: Prentice Hall Professional Technical Reference
Based on formal derivations of financial theory, this volume provides a rigorous exploration of individual's consumption and portfolio decisions under uncertainty. Features in-depth coverage of such topics as: concepts of risk aversion and stochastic dominance; mathematical properties of a portfolio frontier; distributional conditions for mutual fund separation; capital asset pricing models and arbitrage pricing models; general pricing rules for securities that pay off in more than one state of nature; the pricing of options; rational expectation models of risky asset prices; signaling models; how multiperiod dynamic economies can be modeled; a multiperiod economy with emphasis on valuation by arbitrage; econometric issues associated with testing capital asset pricing models. For readers interested in a rigorous overview of financial economicsn individual consumption point of view. © 1988
- Prentice Hall Professional Technical Reference
- Publication date:
- Edition description:
- Xerox copy
- Product dimensions:
- 6.17(w) x 9.27(h) x 1.00(d)
Table of Contents1. Preferences Representation and Risk Aversion.
2. Stachastic Dominance.
3. Mathematics of the Portfolio Frontier.
4. Two Fund Separation and Linear Valuation.
5. Allocative Efficiency and the Valuation of State Contingent Securities.
6. Valuation of Complex Securities and Options with Preference Restrictions.
7. Multiperiod Securities Markets I: Equilibrium Valuation.
8. Multiperiod Securities Markets II: Valuation by Arbitrage.
9. Financial Markets with Differential Information.
10. Econometric Issues in Testing the Capital Asset Pricing Model.
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