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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
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Foundations for financial economics, Chi fu Huang, Robert H. Litzenberger
- Language
- Released
- 1998
- Binding
- (Paperback)
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- Title
- Foundations for financial economics
- Language
- English
- Authors
- Chi fu Huang, Robert H. Litzenberger
- Publisher
- Prentice-Hall
- Released
- 1998
- Format
- Paperback
- Pages
- 364
- ISBN10
- 0135006538
- ISBN13
- 9780135006535
- Series
- Rating
- 3.5 out of 5
- Description
- 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