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Author : Lü-weng Huang
Publisher :
ISBN 13 :
Total Pages : 108 pages
Book Rating : 4.:/5 (153 download)
Download or read book A Rational Anticipations General Equilibrium Asset Pricing Model written by Lü-weng Huang and published by . This book was released on 1983 with total page 108 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Chi-Fu Huang
Publisher : Palala Press
ISBN 13 : 9781341577802
Total Pages : 118 pages
Book Rating : 4.5/5 (778 download)
Download or read book A Rational Anticipations General Equilibrium Asset Pricing Model written by Chi-Fu Huang and published by Palala Press. This book was released on 2015-09-05 with total page 118 pages. Available in PDF, EPUB and Kindle. Book excerpt: This work has been selected by scholars as being culturally important, and is part of the knowledge base of civilization as we know it. This work was reproduced from the original artifact, and remains as true to the original work as possible. Therefore, you will see the original copyright references, library stamps (as most of these works have been housed in our most important libraries around the world), and other notations in the work. This work is in the public domain in the United States of America, and possibly other nations. Within the United States, you may freely copy and distribute this work, as no entity (individual or corporate) has a copyright on the body of the work.As a reproduction of a historical artifact, this work may contain missing or blurred pages, poor pictures, errant marks, etc. Scholars believe, and we concur, that this work is important enough to be preserved, reproduced, and made generally available to the public. We appreciate your support of the preservation process, and thank you for being an important part of keeping this knowledge alive and relevant.
Author : Robert K. Rayner
Publisher :
ISBN 13 :
Total Pages : 52 pages
Book Rating : 4.3/5 ( download)
Download or read book Rational Expectations and the Capital Asset Pricing Model written by Robert K. Rayner and published by . This book was released on 1985 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Emilio Barucci
Publisher : Springer Science & Business Media
ISBN 13 : 9781852334697
Total Pages : 488 pages
Book Rating : 4.3/5 (346 download)
Download or read book Financial Markets Theory written by Emilio Barucci and published by Springer Science & Business Media. This book was released on 2002-12-11 with total page 488 pages. Available in PDF, EPUB and Kindle. Book excerpt: A presentation of classical asset pricing theory, this textbook is the only one to address the economic foundations of financial markets theory from a mathematically rigorous standpoint and to offer a self-contained critical discussion based on empirical results. Tools for understanding the economic analysis are provided, and mathematical models are presented in discrete time/finite state space for simplicity. Examples and exercises included.
Author : Cheol Soo Park
Publisher :
ISBN 13 :
Total Pages : 128 pages
Book Rating : 4.F/5 ( download)
Download or read book General Equilibrium Asset Pricing Model written by Cheol Soo Park and published by . This book was released on 1993 with total page 128 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Stephanie Schmitt-Grohé
Publisher :
ISBN 13 :
Total Pages : 42 pages
Book Rating : 4.:/5 (321 download)
Download or read book Solving Dynamic General Equilibrium Models Using a Second-order Approximation to the Policy Function written by Stephanie Schmitt-Grohé and published by . This book was released on 2001 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper derives a second-order approximation to the solution of a general class of discrete- time rational expectations models. The main theoretical contribution of the paper is to show that for any model belonging to the general class considered, the coefficients on the terms linear and quadratic in the state vector in a second-order expansion of the decision rule are independent of the volatility of the exogenous shocks. In other words, these coefficients must be the same in the stochastic and the deterministic versions of the model. Thus, up to second order, the presence of uncertainty affects only the constant term of the decision rules. In addition, the paper presents a set of MATLAB programs designed to compute the coefficients of the second-order approximation. The validity and applicability of the proposed method is illustrated by solving the dynamics of a number of model economies.
Author : Sumru Altug
Publisher : Cambridge University Press
ISBN 13 : 1139474367
Total Pages : 686 pages
Book Rating : 4.1/5 (394 download)
Download or read book Asset Pricing for Dynamic Economies written by Sumru Altug and published by Cambridge University Press. This book was released on 2008-09-11 with total page 686 pages. Available in PDF, EPUB and Kindle. Book excerpt: This introduction to general equilibrium modelling takes an integrated approach to the analysis of macroeconomics and finance. It provides students, practitioners, and policymakers with an easily accessible set of tools that can be used to analyze a wide range of economic phenomena. Key features: • Provides a consistent framework for understanding dynamic economic models • Introduces key concepts in finance in a discrete time setting • Develops simple recursive approach for analyzing a variety of problems in a dynamic, stochastic environment • Sequentially builds up the analysis of consumption, production, and investment models to study their implications for allocations and asset prices • Reviews business cycle analysis and the business cycle implications of monetary and international models • Covers latest research on asset pricing in overlapping generations models and on models with borrowing constraints and transaction costs • Includes end-of-chapter exercises allowing readers to monitor their understanding of each topic Online resources are available at www.cambridge.org/altug_labadie
Author : Jérôme Detemple
Publisher :
ISBN 13 :
Total Pages : 38 pages
Book Rating : 4.:/5 (334 download)
Download or read book Asset Pricing in an Intertemporal Noisy Rational Expectations Equilibrium written by Jérôme Detemple and published by . This book was released on 1995 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Chenghu Ma
Publisher : World Scientific Publishing Company
ISBN 13 : 1911299522
Total Pages : 818 pages
Book Rating : 4.9/5 (112 download)
Download or read book Advanced Asset Pricing Theory written by Chenghu Ma and published by World Scientific Publishing Company. This book was released on 2011-01-03 with total page 818 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a broad introduction of modern asset pricing theory with equal treatments for both discrete-time and continuous-time modeling. Both the no-arbitrage and the general equilibrium approaches of asset pricing theory are treated coherently within the general equilibrium framework.The analyses and coverage are up to date, comprehensive and in-depth. Topics include microeconomic foundation of asset pricing theory, the no-arbitrage principle and fundamental theorem, risk measurement and risk management, sequential portfolio choice, equity premium decomposition, option pricing, bond pricing and term structure of interest rates. The merits and limitations are expounded with respect to allocation and information market efficiency, along with the classical expectations hypothesis concerning the information content of yield curve and bond prices. Efforts are also made towards the resolution of several well-documented puzzles in empirical finance, which include the equity premium puzzle, the risk free rate puzzle, and the money-ness bias phenomenon of Black-Scholes option pricing model.The theory is self-contained and unified in presentation. The inclusion of proofs and derivations to enhance the transparency of the underlying arguments and conditions for the validity of the economic theory makes an ideal advanced textbook or reference book for graduate students specializing in financial economics and quantitative finance. The explanations are detailed enough to capture the interest of those curious readers, and complete enough to provide necessary background material needed to explore further the subject and research literature.
Author : Andrew James Culham
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (173 download)
Download or read book Asset Pricing in a Lucas Framework with Boundedly Rational, Heterogeneous Agents written by Andrew James Culham and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: ABSTRACT: The standard dynamic general equilibrium model of financial markets does a poor job of explaining the empirical facts observed in real market data. The common assumptions of homogeneous investors and rational expectations equilibrium are thought to be major factors leading to this poor performance. In an attempt to relax these assumptions, the literature has seen the emergence of agent-based computational models where artificial economies are populated with agents who trade in stylized asset markets. Although they offer a great deal of flexibility, the theoretical community has often criticized these agent-based models because the agents are too limited in their analytical abilities.
Author : Wayne Ferson
Publisher : MIT Press
ISBN 13 : 0262039370
Total Pages : 497 pages
Book Rating : 4.2/5 (62 download)
Download or read book Empirical Asset Pricing written by Wayne Ferson and published by MIT Press. This book was released on 2019-03-12 with total page 497 pages. Available in PDF, EPUB and Kindle. Book excerpt: An introduction to the theory and methods of empirical asset pricing, integrating classical foundations with recent developments. This book offers a comprehensive advanced introduction to asset pricing, the study of models for the prices and returns of various securities. The focus is empirical, emphasizing how the models relate to the data. The book offers a uniquely integrated treatment, combining classical foundations with more recent developments in the literature and relating some of the material to applications in investment management. It covers the theory of empirical asset pricing, the main empirical methods, and a range of applied topics. The book introduces the theory of empirical asset pricing through three main paradigms: mean variance analysis, stochastic discount factors, and beta pricing models. It describes empirical methods, beginning with the generalized method of moments (GMM) and viewing other methods as special cases of GMM; offers a comprehensive review of fund performance evaluation; and presents selected applied topics, including a substantial chapter on predictability in asset markets that covers predicting the level of returns, volatility and higher moments, and predicting cross-sectional differences in returns. Other chapters cover production-based asset pricing, long-run risk models, the Campbell-Shiller approximation, the debate on covariance versus characteristics, and the relation of volatility to the cross-section of stock returns. An extensive reference section captures the current state of the field. The book is intended for use by graduate students in finance and economics; it can also serve as a reference for professionals.
Author : Ser-Huang Poon
Publisher : OUP Oxford
ISBN 13 : 0191533890
Total Pages : 156 pages
Book Rating : 4.1/5 (915 download)
Download or read book Asset Pricing in Discrete Time written by Ser-Huang Poon and published by OUP Oxford. This book was released on 2005-01-13 with total page 156 pages. Available in PDF, EPUB and Kindle. Book excerpt: Relying on the existence, in a complete market, of a pricing kernel, this book covers the pricing of assets, derivatives, and bonds in a discrete time, complete markets framework. It is primarily aimed at advanced Masters and PhD students in finance. — Covers asset pricing in a single period model, deriving a simple complete market pricing model and using Stein's lemma to derive a version of the Capital Asset Pricing Model. — Looks more deeply into some of the utility determinants of the pricing kernel, investigating in particular the effect of non-marketable background risks on the shape of the pricing kernel. — Derives the prices of European-style contingent claims, in particular call options, in a one-period model; derives the Black-Scholes model assuming a lognormal distribution for the asset and a pricing kernel with constant elasticity, and emphasizes the idea of a risk-neutral valuation relationship between the price of a contingent claim on an asset and the underlying asset price. — Extends the analysis to contingent claims on assets with non-lognormal distributions and considers the pricing of claims when risk-neutral valuation relationships do not exist. — Expands the treatment of asset pricing to a multi-period economy, deriving prices in a rational expectations equilibrium. — Uses the rational expectations framework to analyse the pricing of forward and futures contracts on assets and derivatives. — Analyses the pricing of bonds given stochastic interest rates, and then uses this methodology to model the drift of forward rates, and as a special case the drift of the forward London Interbank Offer Rate in the LIBOR Market Model.
Author : James M. Nason
Publisher :
ISBN 13 :
Total Pages : 160 pages
Book Rating : 4.:/5 (172 download)
Download or read book An Essay on General Equilibrium Asset Princing Models and Macroeconomics written by James M. Nason and published by . This book was released on 1987 with total page 160 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : John Geanakoplos
Publisher :
ISBN 13 :
Total Pages : 17 pages
Book Rating : 4.:/5 (255 download)
Download or read book The Capital Asset Pricing Model as a General Equilibrium with Incomplete Markets written by John Geanakoplos and published by . This book was released on 1989 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Pierre Collin-Dufresne
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (129 download)
Download or read book Parameter Learning in General Equilibrium written by Pierre Collin-Dufresne and published by . This book was released on 2013 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Parameter learning strongly amplifies the impact of macro shocks on marginal utility when the representative agent has a preference for early resolution of uncertainty. This occurs as rational belief updating generates subjective long-run consumption risks. We consider general equilibrium models with unknown parameters governing either long-run economic growth, the variance of shocks, rare events, or model selection. Overall, parameter learning generates long-lasting, quantitatively significant additional macro risks that help explain standard asset pricing puzzles.
Author : Yvan Lengwiler
Publisher :
ISBN 13 : 9780691113159
Total Pages : 287 pages
Book Rating : 4.1/5 (131 download)
Download or read book Microfoundations of Financial Economics written by Yvan Lengwiler and published by . This book was released on 2004 with total page 287 pages. Available in PDF, EPUB and Kindle. Book excerpt: This textbook takes the reader from the level of microeconomics principles through to modern asset pricing theory. Yvan Lengwiler elegantly links together issues that have in the past been the territory of general economic theorists on the one hand, and financial economists on the other. In a sequence of carefully explained steps, the reader learns how the first welfare theorem is used in asset pricing theory. The book then moves on to explore Radner economies and von Neumann-Morgenstern decision theory, and this section culminates in Wilson's mutuality principle and the consumption-based CAPM. This is then put into a dynamic setting, and term structure models are introduced. The empirical shortcomings of the standard asset pricing models are extensively discussed, as is research from the last twenty years aimed at bringing theory in line with reality. The reader is brought up to date on the latest areas of concern, such as habit formation, the consequences of heterogeneity, demographic effects, changing tax regimes, market frictions, and the implications of prospect theory for asset pricing. Aimed at masters or Ph.D. students specializing in financial economics, the book can also be used as a supplementary text for students of macroeconomics at this advanced level and will be of interest to finance professionals with a background in economics and mathematics. It includes problems (with solutions), and an accompanying website provides supporting material for lecturers.
Author : George Gaetano Pennacchi
Publisher : Addison-Wesley Longman
ISBN 13 : 9780321127204
Total Pages : 0 pages
Book Rating : 4.1/5 (272 download)
Download or read book Theory of Asset Pricing written by George Gaetano Pennacchi and published by Addison-Wesley Longman. This book was released on 2008 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Theory of Asset Pricing unifies the central tenets and techniques of asset valuation into a single, comprehensive resource that is ideal for the first PhD course in asset pricing. By striking a balance between fundamental theories and cutting-edge research, Pennacchi offers the reader a well-rounded introduction to modern asset pricing theory that does not require a high level of mathematical complexity.
