Read Books Online and Download eBooks, EPub, PDF, Mobi, Kindle, Text Full Free.
Dynamic Portfolio Choice And Asset Pricing With Heterogeneous Information Ii Differential Information Sets
Download Dynamic Portfolio Choice And Asset Pricing With Heterogeneous Information Ii Differential Information Sets full books in PDF, epub, and Kindle. Read online Dynamic Portfolio Choice And Asset Pricing With Heterogeneous Information Ii Differential Information Sets ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Book Synopsis Dynamic Portfolio Choice and Asset Pricing with Heterogeneous Information (II) : Differential Information Sets by : Chunsheng Zhou
Download or read book Dynamic Portfolio Choice and Asset Pricing with Heterogeneous Information (II) : Differential Information Sets written by Chunsheng Zhou and published by . This book was released on 1994 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis DYNAMIC PORTFOLIO CHOICE AND ASSET PRICING WITH HETEROGENEOUS INFORMATION : COMPLETELY RANKED INFORMATION SETS by : Chunsheng ZHOU
Download or read book DYNAMIC PORTFOLIO CHOICE AND ASSET PRICING WITH HETEROGENEOUS INFORMATION : COMPLETELY RANKED INFORMATION SETS written by Chunsheng ZHOU and published by . This book was released on 1994 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Dynamic Portfolio Choice and Asset Pricing with Heterogeneous Information by : Chunsheng Zhou
Download or read book Dynamic Portfolio Choice and Asset Pricing with Heterogeneous Information written by Chunsheng Zhou and published by . This book was released on 1994 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Asset Pricing and Portfolio Choice Theory by : Kerry Back
Download or read book Asset Pricing and Portfolio Choice Theory written by Kerry Back and published by Oxford University Press. This book was released on 2010-09-10 with total page 504 pages. Available in PDF, EPUB and Kindle. Book excerpt: In Asset Pricing and Portfolio Choice Theory, Kerry E. Back at last offers what is at once a welcoming introduction to and a comprehensive overview of asset pricing. Useful as a textbook for graduate students in finance, with extensive exercises and a solutions manual available for professors, the book will also serve as an essential reference for scholars and professionals, as it includes detailed proofs and calculations as section appendices. Topics covered include the classical results on single-period, discrete-time, and continuous-time models, as well as various proposed explanations for the equity premium and risk-free rate puzzles and chapters on heterogeneous beliefs, asymmetric information, non-expected utility preferences, and production models. The book includes numerous exercises designed to provide practice with the concepts and to introduce additional results. Each chapter concludes with a notes and references section that supplies pathways to additional developments in the field.
Book Synopsis Asset Pricing and Portfolio Choice Theory by : Kerry E. Back
Download or read book Asset Pricing and Portfolio Choice Theory written by Kerry E. Back and published by Oxford University Press. This book was released on 2017-01-04 with total page 608 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the 2nd edition of Asset Pricing and Portfolio Choice Theory, Kerry E. Back offers a concise yet comprehensive introduction to and overview of asset pricing. Intended as a textbook for asset pricing theory courses at the Ph.D. or Masters in Quantitative Finance level with extensive exercises and a solutions manual available for professors, the book is also an essential reference for financial researchers and professionals, as it includes detailed proofs and calculations as section appendices. 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. A section on derivative securities covers the usual derivatives (options, forwards and futures, and term structure models) and also applications of perpetual options to corporate debt, real options, and optimal irreversible investment. A chapter on "explaining puzzles" and the last part of the book provide introductions to a number of additional current topics in asset pricing research, including rare disasters, long-run risks, external and internal habits, asymmetric and incomplete information, heterogeneous beliefs, and non-expected-utility preferences. Each chapter includes a "Notes and References" section providing additional pathways to the literature. Each chapter also includes extensive exercises.
Book Synopsis International Portfolio Choice and Asset Pricing by : René M. Stulz
Download or read book International Portfolio Choice and Asset Pricing written by René M. Stulz and published by . This book was released on 1994 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: In general, theories of portfolio choice and asset pricing let investors differ at most with respect to their preferences, their wealth and, possibly, their information sets. If there are multiple countries, however, the investment and consumption opportunity sets of investors depend on their country of residence. International portfolio choice and asset pricing theories attempt to understand how the existence of country-specific investment and consumption opportunity sets affect the portfolios held by investors and the expected returns of assets. In this paper, we review these theories within a common framework, discuss how they fare in empirical tests, and assess their relevance for the field of international finance.
Book Synopsis Multi-moment Asset Allocation and Pricing Models by : Emmanuel Jurczenko
Download or read book Multi-moment Asset Allocation and Pricing Models written by Emmanuel Jurczenko and published by John Wiley & Sons. This book was released on 2006-10-02 with total page 258 pages. Available in PDF, EPUB and Kindle. Book excerpt: While mainstream financial theories and applications assume that asset returns are normally distributed and individual preferences are quadratic, the overwhelming empirical evidence shows otherwise. Indeed, most of the asset returns exhibit “fat-tails” distributions and investors exhibit asymmetric preferences. These empirical findings lead to the development of a new area of research dedicated to the introduction of higher order moments in portfolio theory and asset pricing models. Multi-moment asset pricing is a revolutionary new way of modeling time series in finance which allows various degrees of long-term memory to be generated. It allows risk and prices of risk to vary through time enabling the accurate valuation of long-lived assets. This book presents the state-of-the art in multi-moment asset allocation and pricing models and provides many new developments in a single volume, collecting in a unified framework theoretical results and applications previously scattered throughout the financial literature. The topics covered in this comprehensive volume include: four-moment individual risk preferences, mathematics of the multi-moment efficient frontier, coherent asymmetric risks measures, hedge funds asset allocation under higher moments, time-varying specifications of (co)moments and multi-moment asset pricing models with homogeneous and heterogeneous agents. Written by leading academics, Multi-moment Asset Allocation and Pricing Models offers a unique opportunity to explore the latest findings in this new field of research.
Book Synopsis Equilibrium Asset Pricing Under Heterogeneous Information by : Bruno Biais
Download or read book Equilibrium Asset Pricing Under Heterogeneous Information written by Bruno Biais and published by . This book was released on 2004 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: We analyze theoretically and empirically the implications of heterogeneous information for equilibrium asset pricing and portfolio choice. Our theoretical framework, directly inspired by Admati (1985), implies that with partial information aggregation, portfolio separation fails, buy-and-hold strategies are not optimal, and investors should structure their portfolios using the information contained in prices in order to cope with winner's curse problems. We implement empirically such a price-contingent portfolio allocation strategy and show that it outperforms economically and statistically the passive/indexing buy-and-hold strategy. We thus demonstrate that prices reveal information, in contrast with the homogeneous information CAPM, but only partially, consistent with a Noisy Rational Expectations Equilibrium. The success of our pricecontingent strategy does not proxy for the success of trading strategies based purely on historical performance, such as momentum investment.
Book Synopsis Dynamic Consumption-portfolio Choice and Asset Pricing with Non-price-taking Agents by : Suleyman Basak
Download or read book Dynamic Consumption-portfolio Choice and Asset Pricing with Non-price-taking Agents written by Suleyman Basak and published by . This book was released on 1994 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Equilibrium Asset Pricing and Portfolio Choice Under Asymmetric Information by :
Download or read book Equilibrium Asset Pricing and Portfolio Choice Under Asymmetric Information written by and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Dynamic Asset Pricing Theory by : Darrell Duffie
Download or read book Dynamic Asset Pricing Theory written by Darrell Duffie and published by . This book was released on 1992 with total page 299 pages. Available in PDF, EPUB and Kindle. Book excerpt: Dynamic Asset Pricing Theory is a textbook for doctoral students and researchers on the theory of asset pricing and portfolio selection in multiperiod settings under uncertainty. The asset pricing results are based on the three increasingly restrictive assumptions: absence of arbitrage, single-agent optimality, and equilibrium. These results are unified with two key concepts, state prices and martingales. Technicalities are given relatively little emphasis so as to draw connections between these concepts and to make plain the similarities between discrete and continuous-time models. For simplicity, all continuous-time models are based on Brownian motion. Examples include the Black-Scholes option-pricing model, Lucas's single-agent Markov asset pricing model, Merton's problem of optimal portfolio and consumption choice in a continuous-time setting, the Harrison-Kreps theory of equivalent martingale measures, Breeden's consumption-based capital asset pricing model, and the term-structure model of Cox, Ingersoll, and Ross. Numerical solution techniques include "binomial" methods, Monte Carlo simulation, and finite-difference methods for solving partial differential equations. Each chapter provides extensive problem exercises and notes to the literature.
Book Synopsis Portfolio Selection and Asset Pricing: Models of Financial Economics and Their Applications in Investing by : Jamil Baz
Download or read book Portfolio Selection and Asset Pricing: Models of Financial Economics and Their Applications in Investing written by Jamil Baz and published by McGraw Hill Professional. This book was released on 2022-09-06 with total page 426 pages. Available in PDF, EPUB and Kindle. Book excerpt: This uniquely comprehensive guide provides expert insights into everything from financial mathematics to the practical realities of asset allocation and pricing Investors like you typically have a choice to make when seeking guidance for portfolio selection―either a book of practical, hands-on approaches to your craft or an academic tome of theories and mathematical formulas. From three top experts, Portfolio Selection and Asset Pricing strikes the right balance with an extensive discussion of mathematical foundations of portfolio choice and asset pricing models, and the practice of asset allocation. This thorough guide is conveniently organized into four sections: Mathematical Foundations―normed vector spaces, optimization in discrete and continuous time, utility theory, and uncertainty Portfolio Models―single-period and continuous-time portfolio choice, analogies, asset allocation for a sovereign as an example, and liability-driven allocation Asset Pricing―capital asset pricing models, factor models, option pricing, and expected returns Robust Asset Allocation―robust estimation of optimization inputs, such as the Black-Litterman Model and shrinkage, and robust optimizers Whether you are a sophisticated investor or advanced graduate student, this high-level title combines rigorous mathematical theory with an emphasis on practical implementation techniques.
Book Synopsis Portfolio Choice Problems by : Nicolas Chapados
Download or read book Portfolio Choice Problems written by Nicolas Chapados and published by Springer Science & Business Media. This book was released on 2011-07-12 with total page 107 pages. Available in PDF, EPUB and Kindle. Book excerpt: This brief offers a broad, yet concise, coverage of portfolio choice, containing both application-oriented and academic results, along with abundant pointers to the literature for further study. It cuts through many strands of the subject, presenting not only the classical results from financial economics but also approaches originating from information theory, machine learning and operations research. This compact treatment of the topic will be valuable to students entering the field, as well as practitioners looking for a broad coverage of the topic.
Book Synopsis A Theory of Asset Pricing Based on Heterogeneous Information by : Elias Albagli
Download or read book A Theory of Asset Pricing Based on Heterogeneous Information written by Elias Albagli and published by . This book was released on 2011 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose a theory of asset prices that emphasizes heterogeneous information as the main element determining prices of different securities. Our main analytical innovation is in formulating a model of noisy information aggregation through asset prices, which is parsimonious and tractable, yet flexible in the specification of cash flow risks. We show that the noisy aggregation of heterogeneous investor beliefs drives a systematic wedge between the impact of fundamentals on an asset price, and the corresponding impact on cash flow expectations. The key intuition behind the wedge is that the identity of the marginal trader has to shift for different realization of the underlying shocks to satisfy the market-clearing condition. This identity shift amplifies the impact of price on the marginal trader's expectations. We derive tight characterization for both the conditional and the unconditional expected wedges. Our first main theorem shows how the sign of the expected wedge (that is, the difference between the expected price and the dividends) depends on the shape of the dividend payoff function and on the degree of informational frictions. Our second main theorem provides conditions under which the variability of prices exceeds the variability for realized dividends. We conclude with two applications of our theory. First, we highlight how heterogeneous information can lead to systematic departures from the Modigliani-Miller theorem. Second, in a dynamic extension of our model we provide conditions under which bubbles arise -- National Bureau of Economic Research web site.
Book Synopsis Intranational Macroeconomics by : Gregory D. Hess
Download or read book Intranational Macroeconomics written by Gregory D. Hess and published by Cambridge University Press. This book was released on 2000-09-11 with total page 342 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book brings the intranational macroeconomics literature into clearer focus by collecting the strands of research into a common thread.
Download or read book Asset Pricing written by John H. Cochrane and published by Princeton University Press. This book was released on 2009-04-11 with total page 560 pages. Available in PDF, EPUB and Kindle. Book excerpt: Winner of the prestigious Paul A. Samuelson Award for scholarly writing on lifelong financial security, John Cochrane's Asset Pricing now appears in a revised edition that unifies and brings the science of asset pricing up to date for advanced students and professionals. Cochrane traces the pricing of all assets back to a single idea--price equals expected discounted payoff--that captures the macro-economic risks underlying each security's value. By using a single, stochastic discount factor rather than a separate set of tricks for each asset class, Cochrane builds a unified account of modern asset pricing. He presents applications to stocks, bonds, and options. Each model--consumption based, CAPM, multifactor, term structure, and option pricing--is derived as a different specification of the discounted factor. The discount factor framework also leads to a state-space geometry for mean-variance frontiers and asset pricing models. It puts payoffs in different states of nature on the axes rather than mean and variance of return, leading to a new and conveniently linear geometrical representation of asset pricing ideas. Cochrane approaches empirical work with the Generalized Method of Moments, which studies sample average prices and discounted payoffs to determine whether price does equal expected discounted payoff. He translates between the discount factor, GMM, and state-space language and the beta, mean-variance, and regression language common in empirical work and earlier theory. The book also includes a review of recent empirical work on return predictability, value and other puzzles in the cross section, and equity premium puzzles and their resolution. Written to be a summary for academics and professionals as well as a textbook, this book condenses and advances recent scholarship in financial economics.
Book Synopsis Equilibrium Asset Pricing and Portfolio Choice with Heterogeneous Preferences by : Jaksa Cvitanic
Download or read book Equilibrium Asset Pricing and Portfolio Choice with Heterogeneous Preferences written by Jaksa Cvitanic and published by . This book was released on 2014 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the market price of risk, the stock volatility and the hedging behavior in equilibrium of heterogeneous agents with arbitrary utility functions, consuming only at the end of the time horizon, and with the state variable following an arbitrary homogeneous diffusion process. We introduce a new notion that we call the "rate of macroeconomic fluctuations", and show hat, in equilibrium, all the quantities and strategies can be characterized in terms of the dividend volatility and the interest rate volatility discounted at this rate. We also show that both the optimal portfolio strategies and the stock price volatility can be decomposed into a myopic and a non-myopic component. The market price of risk, the myopic volatility and the myopic portfolio are determined by the present market value of future discounted volatilities of the dividend and of the interest rate. By contrast, the non-myopic volatility and non-myopic portfolio are given in terms of covariances of equilibrium quantities with the discounted dividend volatility. These representations enable us to show that, under natural cyclicality conditions, the non-myopic volatility is always positive, and the non-myopic portfolio is positive for an agent if and only if the product of his prudence and risk tolerance is less than the same product corresponding to the log agent.
