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Asset Pricing Theory
Hardcover
Series: Princeton Finance
Business GeneralEconomicsInvesting & Finance
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ISBN13: 9780691139852
Publisher: Princeton Univ Pr
Published: Mar 1 2009
Pages: 368
Weight: 1.70
Height: 1.20 Width: 6.40 Depth: 9.20
Language: English
Asset Pricing Theory is an advanced textbook for doctoral students and researchers that offers a modern introduction to the theoretical and methodological foundations of competitive asset pricing. Costis Skiadas develops in depth the fundamentals of arbitrage pricing, mean-variance analysis, equilibrium pricing, and optimal consumption/portfolio choice in discrete settings, but with emphasis on geometric and martingale methods that facilitate an effortless transition to the more advanced continuous-time theory.
Among the book's many innovations are its use of recursive utility as the benchmark representation of dynamic preferences, and an associated theory of equilibrium pricing and optimal portfolio choice that goes beyond the existing literature.- Covers in depth the modern theoretical foundations of competitive asset pricing and consumption/portfolio choice
- Uses recursive utility as the benchmark preference representation in dynamic settings
- Sets the foundations for advanced modeling using geometric arguments and martingale methodology
- Features self-contained mathematical appendixes
- Includes extensive end-of-chapter exercises
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