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Download or read book Portfolio Choice and Asset Pricing with Nontraded Assets written by and published by . This book was released on 1988 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Lars E. O. Svensson
Publisher :
ISBN 13 :
Total Pages : 52 pages
Book Rating : 4.:/5 (318 download)
Download or read book Portfolio Choice and Asset Pricing with Nontraded Assets written by Lars E. O. Svensson and published by . This book was released on 1988 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines portfolio choice and asset pricing when some assets are nontraded, for instance when a country cannot trade claims to its output on world capital markets, when a government cannot trade claims to future tax revenues, or when an individual cannot trade claims to his future wages. The close relation between portfolio choice with and implicit pricing of nontraded assets is emphasized. A variant of Cox, Ingersoll and Ross's Fundamental Valuation Equation is derived and used to interpret the optimal portfolio. Explicit solutions are presented to the portfolio and pricing problem for some special cases, including when income from the nontraded assets is a diffusion process, not spanned by traded assets, and affected by a state variable.
Author : Kerry Back
Publisher : Oxford University Press
ISBN 13 : 0199939071
Total Pages : 504 pages
Book Rating : 4.1/5 (999 download)
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.
Author : Kerry E. Back
Publisher : Oxford University Press
ISBN 13 : 0190241152
Total Pages : 608 pages
Book Rating : 4.1/5 (92 download)
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.
Author : René M. Stulz
Publisher :
ISBN 13 :
Total Pages : 56 pages
Book Rating : 4.:/5 (318 download)
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.
Author : Lars E. O. Svensson
Publisher :
ISBN 13 :
Total Pages : 25 pages
Book Rating : 4.:/5 (817 download)
Download or read book Nontraded Assets in Incomplete Markets written by Lars E. O. Svensson and published by . This book was released on 1992 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Shouyang Wang
Publisher : Springer Science & Business Media
ISBN 13 : 3642559344
Total Pages : 260 pages
Book Rating : 4.6/5 (425 download)
Download or read book Portfolio Selection and Asset Pricing written by Shouyang Wang and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 260 pages. Available in PDF, EPUB and Kindle. Book excerpt: In our daily life, almost every family owns a portfolio of assets. This portfolio could contain real assets such as a car, or a house, as well as financial assets such as stocks, bonds or futures. Portfolio theory deals with how to form a satisfied portfolio among an enormous number of assets. Originally proposed by H. Markowtiz in 1952, the mean-variance methodology for portfolio optimization has been central to the research activities in this area and has served as a basis for the development of modem financial theory during the past four decades. Follow-on work with this approach has born much fruit for this field of study. Among all those research fruits, the most important is the capital asset pricing model (CAPM) proposed by Sharpe in 1964. This model greatly simplifies the input for portfolio selection and makes the mean-variance methodology into a practical application. Consequently, lots of models were proposed to price the capital assets. In this book, some of the most important progresses in portfolio theory are surveyed and a few new models for portfolio selection are presented. Models for asset pricing are illustrated and the empirical tests of CAPM for China's stock markets are made. The first chapter surveys ideas and principles of modeling the investment decision process of economic agents. It starts with the Markowitz criteria of formulating return and risk as mean and variance and then looks into other related criteria which are based on probability assumptions on future prices of securities.
Author : Lars Svensson
Publisher :
ISBN 13 :
Total Pages : 34 pages
Book Rating : 4.:/5 (129 download)
Download or read book Porfolio choice and asset pricing with nontraded assets written by Lars Svensson and published by . This book was released on 1988 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jamil Baz
Publisher : McGraw Hill Professional
ISBN 13 : 126427016X
Total Pages : 426 pages
Book Rating : 4.2/5 (642 download)
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.
Author : Maarten Meeuwis
Publisher :
ISBN 13 :
Total Pages : 46 pages
Book Rating : 4.:/5 (12 download)
Download or read book Portfolio Choice and Asset Pricing with Non-homothetic Preferences written by Maarten Meeuwis and published by . This book was released on 2020 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: I estimate the structural parameters of a life-cycle consumption and portfolio choice model with non-homothetic risk preferences and study the quantitative implications of decreasing relative risk aversion for inequality and asset pricing. The model matches empirical patterns in portfolio allocations with a significant degree of nonhomotheticity in risk preferences, such that a 10% permanent income growth leads to a decrease in risk aversion by 1.9%. Decreasing relative risk aversion in the model doubles the share of wealth at the top, as equity is concentrated in the hands of the wealthy. The model also implies that rising income inequality in the U.S. has led to a 14% decline in the equity premium over the past three decades. Finally, I find that the model implications of time-varying risk aversion for the dynamics of asset prices are quantitatively limited.
Author : Lars E. O. Svensson
Publisher :
ISBN 13 :
Total Pages : 33 pages
Book Rating : 4.:/5 (848 download)
Download or read book Portfolio Choice and Asset Pricing with Montraded Assets written by Lars E. O. Svensson and published by . This book was released on 1988 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : John Y. Campbell
Publisher : Clarendon Lectures in Economic
ISBN 13 : 9780198296942
Total Pages : 280 pages
Book Rating : 4.2/5 (969 download)
Download or read book Strategic Asset Allocation written by John Y. Campbell and published by Clarendon Lectures in Economic. This book was released on 2002 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume provides a scientific foundation for the advice offered by financial planners to long-term investors. Based upon statistics on asset return behavior and assumed investor objectives, the authors derive optimal portfolio rules that investors can compare with existing rules of thumb.
Author : Robert F. Sarama
Publisher :
ISBN 13 :
Total Pages : 111 pages
Book Rating : 4.:/5 (739 download)
Download or read book Asset Pricing and Portfolio Choice in the Presence of Housing written by Robert F. Sarama and published by . This book was released on 2010 with total page 111 pages. Available in PDF, EPUB and Kindle. Book excerpt: The second essay, "Non-durable Consumption Volatility and Illiquid Assets," finds that factors beyond the volatility of asset payoffs may significantly affect the volatility of the agent's consumption stream. The empirical failure of consumption-based asset pricing models is often attributed to the lack of volatility in aggregate measures of consumption. However, I illustrate in this paper that frictions faced by agents may lead to much higher levels of volatility in individual consumption than we observe in the aggregate data. I develop a life-cycle model of in which the consumer derives utility from non-durable consumption and stock in a risky asset: housing. Non-convex adjustment costs generate lumpy changes in the stock of the risky asset over the life-cycle. The model predicts that non-durable consumption volatility is increasing in both the ability to borrow against the assets held in the consumer's portfolio and in the illiquidity of the portfolio.
Author : Yusif Simaan
Publisher :
ISBN 13 :
Total Pages : 372 pages
Book Rating : 4.:/5 (173 download)
Download or read book Portfolio Selection and Capital Asset Pricing for a Class of Non-spherical Distributions of Assets Returns written by Yusif Simaan and published by . This book was released on 1987 with total page 372 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Suleyman Basak
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (35 download)
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:
Author : Lars E. O. Svensson
Publisher :
ISBN 13 :
Total Pages : 46 pages
Book Rating : 4.3/5 ( download)
Download or read book Nontraded Assets in Incomplete Markets written by Lars E. O. Svensson and published by . This book was released on 1990 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Kerry Back
Publisher :
ISBN 13 : 9780190241162
Total Pages : pages
Book Rating : 4.2/5 (411 download)
Download or read book Asset Pricing and Portfolio Choice Theory written by Kerry Back and published by . This book was released on 2016-08-01 with total page 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.
