Principles of financial economics

By:

LeRoy Stephen F

Contributor(s):

Werner Jan

Publication details: Cambridge Cambridge University Press 2001Description: 280p xvISBN:

9780521586064

Subject(s):

1. Investments - Mathematical Models2. Finance - Economics3. Securities - Prices - Capital Market

DDC classification:

332.210000 LER

Contents:

Contents Part I. Equilibrium and Arbitrage: 1. General equilibrium in security markets; 2. Linear pricing; 3. Arbitrage and positive pricing; 4. Portfolio restrictions; Part II. Valuation: 5. Valuation; 6. State prices and risk-neutral probabilities; 7. Valuation under portfolio restrictions; Part III. Risk: 8. Expected utility; 9. Risk aversion; 10. Risk; Part IV. Optimal Portfolios: 11. Optimal portfolios with one risky security; 12. Comparative statics of optimal portfolios; 13. Optimal portfolios with several risky securities; Part V. Equilibrium Prices and Allocations: 14. Consumption-based security pricing; 15. Complete markets and Pareto-optimal allocations of risk; 16. Optimality in incomplete security markets; Part VI. Mean-Variance Models: 17. The expectations and pricing kernels; 18. The mean-variance frontier payoffs; 19. CAPM; 20. Factor pricing; Part VII. Multidate Models: 21. A multidate model of security markets; 22. Multidate arbitrage and positivity; 23. Dynamically complete markets; 24. Valuation; 25. Event process, risk-neutral probabilities and the pricing kernel; 26. Security gains as martingales; 27. Consumption-based security pricing; 28. The frontier payoffs and the CAPM.

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Holdings
Item type	Current library	Shelving location	Call number	Status	Date due	Barcode
BOOKs	National Law School	Library Compactors	332.21 LER (Browse shelf(Opens below))	Available		18332

Contents
Part I. Equilibrium and Arbitrage:
1. General equilibrium in security markets;
2. Linear pricing;
3. Arbitrage and positive pricing;
4. Portfolio restrictions;
Part II. Valuation:
5. Valuation;
6. State prices and risk-neutral probabilities;
7. Valuation under portfolio restrictions;
Part III. Risk: 8. Expected utility;
9. Risk aversion;
10. Risk;
Part IV. Optimal Portfolios:
11. Optimal portfolios with one risky security;
12. Comparative statics of optimal portfolios;
13. Optimal portfolios with several risky securities;
Part V. Equilibrium Prices and Allocations:
14. Consumption-based security pricing;
15. Complete markets and Pareto-optimal allocations of risk;
16. Optimality in incomplete security markets;
Part VI. Mean-Variance Models:
17. The expectations and pricing kernels;
18. The mean-variance frontier payoffs;
19. CAPM;
20. Factor pricing;
Part VII. Multidate Models:
21. A multidate model of security markets;
22. Multidate arbitrage and positivity;
23. Dynamically complete markets;
24. Valuation;
25. Event process, risk-neutral probabilities and the pricing kernel;
26. Security gains as martingales;
27. Consumption-based security pricing;
28. The frontier payoffs and the CAPM.

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