Amazon com: Asset Pricing and Portfolio Choice Theory: 9780190241148: Kerry Back: Books
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Asset Pricing and Portfolio Choice Theory
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. Traditional factor models, including the CAPM, are related to or derived from stochastic discount factors. A chapter on stochastic calculus provides the needed tools for analyzing continuous‐time models. Each chapter includes a “Notes and References” section and exercises for students.
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We will start with single-period models and then move to dynamic models in both discrete and continuous time. We’ll develop the theory of dynamic programming in continuous time and use it to study portfolio choice and some corporate investment decisions. Dynamic programming and other aspects of the mathematics of uncertainty in continuous time are useful in other areas of economics asset pricing and portfolio choice theory and finance as well. This course is an introduction to asset pricing and portfolio choice theory. Understanding how assets are priced is also important for issuing entities, like corporations, so asset pricing is also part of the foundation for corporate finance. We take supply (a topic in corporate finance) as given in this course and study demand (portfolio choice).
A personal account can be used to get email alerts, save searches, purchase content, and activate subscriptions. Typically, access is provided across an institutional network to a range of IP addresses. This authentication occurs automatically, and it is not possible to sign out of an IP authenticated account.
The intent is not to limit the valuable exchange of ideas through discussion among fellow students. The atmosphere at Rice University must be one of academic and personal integrity. Any suspected violations of the Honor Code are submitted to the Rice University Honor Council. Our books are available by subscription or purchase to libraries and institutions.
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