Arbitrage Pricing And The Existence Of Equilibrium Under Portfolio Constraints

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Arbitrage Pricing and the Existence of Equilibrium Under Portfolio Constraints

Author : Dong Chul Won
Publisher :
ISBN 13 :
Total Pages : 57 pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis Arbitrage Pricing and the Existence of Equilibrium Under Portfolio Constraints by : Dong Chul Won

Download or read book Arbitrage Pricing and the Existence of Equilibrium Under Portfolio Constraints written by Dong Chul Won and published by . This book was released on 2003 with total page 57 pages. Available in PDF, EPUB and Kindle. Book excerpt: Market frictions create portfolios of complicated nature, constrained zero-income portfolios. They generate no income in the future contingencies but matter to risk sharing whether they are mispriced or not. The no arbitrage conditions of the literature may not be qualified for equilibrium conditions in the presence of constrained zero-income portfolios. Thus 'pricing by arbitrage' is far from completely characterizing asset pricing relations. The purpose of this paper is to provide a unified treatment of both asset pricing and equilibrium when asset markets are subject to portfolio constraints. In particular, 'projective arbitrage' is proposed to examine both asset pricing and the existence of equilibrium under portfolio constraints. To formulate the effect of constrained zero-income portfolios on asset pricing and equilibrium, we introduce the local and global laws of one price as an extension of the law of one price to the case with portfolio constraints. The global law of one price is identified as 'pricing by projective arbitrage.' Moreover, the global law of one price provides an important criterion for judging the capability of various notions of arbitrage to characterize equilibrium asset prices under portfolio constraints. The traditional approach to general equilibrium with incomplete markets breaks down in the face of market frictions simply because the law of one price fails.

Asset Pricing and Portfolio Choice Theory

Author : Kerry Back
Publisher : Oxford University Press
ISBN 13 : 0199939071
Total Pages : 504 pages
Book Rating : 4.1/5 (999 download)

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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.

Dynamic Asset Pricing Theory

Author : Darrell Duffie
Publisher : Princeton University Press
ISBN 13 : 1400829208
Total Pages : 488 pages
Book Rating : 4.4/5 (8 download)

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Book Synopsis Dynamic Asset Pricing Theory by : Darrell Duffie

Download or read book Dynamic Asset Pricing Theory written by Darrell Duffie and published by Princeton University Press. This book was released on 2010-01-27 with total page 488 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a thoroughly updated edition of Dynamic Asset Pricing Theory, the standard text 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. Readers will be particularly intrigued by this latest edition's most significant new feature: a chapter on corporate securities that offers alternative approaches to the valuation of corporate debt. Also, while much of the continuous-time portion of the theory is based on Brownian motion, this third edition introduces jumps--for example, those associated with Poisson arrivals--in order to accommodate surprise events such as bond defaults. Applications include term-structure models, derivative valuation, and hedging methods. Numerical methods covered include Monte Carlo simulation and finite-difference solutions for partial differential equations. Each chapter provides extensive problem exercises and notes to the literature. A system of appendixes reviews the necessary mathematical concepts. And references have been updated throughout. With this new edition, Dynamic Asset Pricing Theory remains at the head of the field.

Empirical Asset Pricing

Author : Wayne Ferson
Publisher : MIT Press
ISBN 13 : 0262039370
Total Pages : 497 pages
Book Rating : 4.2/5 (62 download)

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Book Synopsis Empirical Asset Pricing by : Wayne Ferson

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.

Financial Asset Pricing Theory

Author : Claus Munk
Publisher : Oxford University Press, USA
ISBN 13 : 0199585490
Total Pages : 598 pages
Book Rating : 4.1/5 (995 download)

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Book Synopsis Financial Asset Pricing Theory by : Claus Munk

Download or read book Financial Asset Pricing Theory written by Claus Munk and published by Oxford University Press, USA. This book was released on 2013-04-18 with total page 598 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book presents models for the pricing of financial assets such as stocks, bonds, and options. The models are formulated and analyzed using concepts and techniques from mathematics and probability theory. It presents important classic models and some recent 'state-of-the-art' models that outperform the classics.

Advanced Asset Pricing Theory

Author : Chenghu Ma
Publisher : World Scientific Publishing Company
ISBN 13 : 1911299522
Total Pages : 818 pages
Book Rating : 4.9/5 (112 download)

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Book Synopsis Advanced Asset Pricing Theory by : Chenghu Ma

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.

Modern Portfolio Theory and Investment Analysis

Author : Edwin J. Elton
Publisher : John Wiley & Sons
ISBN 13 : 0470388323
Total Pages : 748 pages
Book Rating : 4.4/5 (73 download)

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Book Synopsis Modern Portfolio Theory and Investment Analysis by : Edwin J. Elton

Download or read book Modern Portfolio Theory and Investment Analysis written by Edwin J. Elton and published by John Wiley & Sons. This book was released on 2009-11-16 with total page 748 pages. Available in PDF, EPUB and Kindle. Book excerpt: An update of a classic book in the field, Modern Portfolio Theory examines the characteristics and analysis of individual securities as well as the theory and practice of optimally combining securities into portfolios. It stresses the economic intuition behind the subject matter while presenting advanced concepts of investment analysis and portfolio management. Readers will also discover the strengths and weaknesses of modern portfolio theory as well as the latest breakthroughs.

The Collected Scientific Work of David Cass

Author : Stephen E. Spear
Publisher : Emerald Group Publishing
ISBN 13 : 0857246453
Total Pages : 413 pages
Book Rating : 4.8/5 (572 download)

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Book Synopsis The Collected Scientific Work of David Cass by : Stephen E. Spear

Download or read book The Collected Scientific Work of David Cass written by Stephen E. Spear and published by Emerald Group Publishing. This book was released on 2011-01-27 with total page 413 pages. Available in PDF, EPUB and Kindle. Book excerpt: Covers the period from the middle 1980's through the end of David Cass' life in 2008.

Neoclassical Finance

Author : Stephen A. Ross
Publisher : Princeton University Press
ISBN 13 : 1400830206
Total Pages : 120 pages
Book Rating : 4.4/5 (8 download)

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Book Synopsis Neoclassical Finance by : Stephen A. Ross

Download or read book Neoclassical Finance written by Stephen A. Ross and published by Princeton University Press. This book was released on 2009-04-11 with total page 120 pages. Available in PDF, EPUB and Kindle. Book excerpt: Neoclassical Finance provides a concise and powerful account of the underlying principles of modern finance, drawing on a generation of theoretical and empirical advances in the field. Stephen Ross developed the no arbitrage principle, tying asset pricing to the simple proposition that there are no free lunches in financial markets, and jointly with John Cox he developed the related concept of risk-neutral pricing. In this book Ross makes a strong case that these concepts are the fundamental pillars of modern finance and, in particular, of market efficiency. In an efficient market prices reflect the information possessed by the market and, as a consequence, trading schemes using commonly available information to beat the market are doomed to fail. By stark contrast, the currently popular stance offered by behavioral finance, fueled by a number of apparent anomalies in the financial markets, regards market prices as subject to the psychological whims of investors. But without any appeal to psychology, Ross shows that neoclassical theory provides a simple and rich explanation that resolves many of the anomalies on which behavioral finance has been fixated. Based on the inaugural Princeton Lectures in Finance, sponsored by the Bendheim Center for Finance of Princeton University, this elegant book represents a major contribution to the ongoing debate on market efficiency, and serves as a useful primer on the fundamentals of finance for both scholars and practitioners.

Quantitative Analysis In Financial Markets: Collected Papers Of The New York University Mathematical Finance Seminar (Vol Iii)

Author : Marco Avellaneda
Publisher : World Scientific
ISBN 13 : 9814490598
Total Pages : 363 pages
Book Rating : 4.8/5 (144 download)

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Book Synopsis Quantitative Analysis In Financial Markets: Collected Papers Of The New York University Mathematical Finance Seminar (Vol Iii) by : Marco Avellaneda

Download or read book Quantitative Analysis In Financial Markets: Collected Papers Of The New York University Mathematical Finance Seminar (Vol Iii) written by Marco Avellaneda and published by World Scientific. This book was released on 2002-01-18 with total page 363 pages. Available in PDF, EPUB and Kindle. Book excerpt: This invaluable book contains lectures presented at the Courant Institute's Mathematical Finance Seminar. The audience consisted of academics from New York University and other universities, as well as practitioners from investment banks, hedge funds and asset-management firms.

Arbitrage Theory in Continuous Time

Author : Tomas Björk
Publisher : OUP Oxford
ISBN 13 : 0191610291
Total Pages : 600 pages
Book Rating : 4.1/5 (916 download)

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Book Synopsis Arbitrage Theory in Continuous Time by : Tomas Björk

Download or read book Arbitrage Theory in Continuous Time written by Tomas Björk and published by OUP Oxford. This book was released on 2009-08-06 with total page 600 pages. Available in PDF, EPUB and Kindle. Book excerpt: The third edition of this popular introduction to the classical underpinnings of the mathematics behind finance continues to combine sound mathematical principles with economic applications. Concentrating on the probabilistic theory of continuous arbitrage pricing of financial derivatives, including stochastic optimal control theory and Merton's fund separation theory, the book is designed for graduate students and combines necessary mathematical background with a solid economic focus. It includes a solved example for every new technique presented, contains numerous exercises, and suggests further reading in each chapter. In this substantially extended new edition Bjork has added separate and complete chapters on the martingale approach to optimal investment problems, optimal stopping theory with applications to American options, and positive interest models and their connection to potential theory and stochastic discount factors. More advanced areas of study are clearly marked to help students and teachers use the book as it suits their needs.

Continuous-Time Asset Pricing Theory

Author : Robert A. Jarrow
Publisher : Springer Nature
ISBN 13 : 3030744108
Total Pages : 470 pages
Book Rating : 4.0/5 (37 download)

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Book Synopsis Continuous-Time Asset Pricing Theory by : Robert A. Jarrow

Download or read book Continuous-Time Asset Pricing Theory written by Robert A. Jarrow and published by Springer Nature. This book was released on 2021-07-30 with total page 470 pages. Available in PDF, EPUB and Kindle. Book excerpt: Asset pricing theory yields deep insights into crucial market phenomena such as stock market bubbles. Now in a newly revised and updated edition, this textbook guides the reader through this theory and its applications to markets. The new edition features new results on state dependent preferences, a characterization of market efficiency and a more general presentation of multiple-factor models using only the assumptions of no arbitrage and no dominance. Taking an innovative approach based on martingales, the book presents advanced techniques of mathematical finance in a business and economics context, covering a range of relevant topics such as derivatives pricing and hedging, systematic risk, portfolio optimization, market efficiency, and equilibrium pricing models. For applications to high dimensional statistics and machine learning, new multi-factor models are given. This new edition integrates suicide trading strategies into the understanding of asset price bubbles, greatly enriching the overall presentation and further strengthening the book’s underlying theme of economic bubbles. Written by a leading expert in risk management, Continuous-Time Asset Pricing Theory is the first textbook on asset pricing theory with a martingale approach. Based on the author’s extensive teaching and research experience on the topic, it is particularly well suited for graduate students in business and economics with a strong mathematical background.

Financial Asset Pricing Theory

Author : Claus Munk
Publisher : OUP Oxford
ISBN 13 : 0191654140
Total Pages : 598 pages
Book Rating : 4.1/5 (916 download)

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Book Synopsis Financial Asset Pricing Theory by : Claus Munk

Download or read book Financial Asset Pricing Theory written by Claus Munk and published by OUP Oxford. This book was released on 2013-04-18 with total page 598 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Asset Pricing Theory offers a comprehensive overview of the classic and the current research in theoretical asset pricing. Asset pricing is developed around the concept of a state-price deflator which relates the price of any asset to its future (risky) dividends and thus incorporates how to adjust for both time and risk in asset valuation. The willingness of any utility-maximizing investor to shift consumption over time defines a state-price deflator which provides a link between optimal consumption and asset prices that leads to the Consumption-based Capital Asset Pricing Model (CCAPM). A simple version of the CCAPM cannot explain various stylized asset pricing facts, but these asset pricing 'puzzles' can be resolved by a number of recent extensions involving habit formation, recursive utility, multiple consumption goods, and long-run consumption risks. Other valuation techniques and modelling approaches (such as factor models, term structure models, risk-neutral valuation, and option pricing models) are explained and related to state-price deflators. The book will serve as a textbook for an advanced course in theoretical financial economics in a PhD or a quantitative Master of Science program. It will also be a useful reference book for researchers and finance professionals. The presentation in the book balances formal mathematical modelling and economic intuition and understanding. Both discrete-time and continuous-time models are covered. The necessary concepts and techniques concerning stochastic processes are carefully explained in a separate chapter so that only limited previous exposure to dynamic finance models is required.

The Consequences of Short-Sale Constraints on the Stability of Financial Markets

Author : Gevorg Hunanyan
Publisher : Springer Nature
ISBN 13 : 3658279567
Total Pages : 117 pages
Book Rating : 4.6/5 (582 download)

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Book Synopsis The Consequences of Short-Sale Constraints on the Stability of Financial Markets by : Gevorg Hunanyan

Download or read book The Consequences of Short-Sale Constraints on the Stability of Financial Markets written by Gevorg Hunanyan and published by Springer Nature. This book was released on 2019-10-05 with total page 117 pages. Available in PDF, EPUB and Kindle. Book excerpt: Gevorg Hunanyan develops a model that provides a comprehensive theoretical framework to study the consequences of short-sale constraints on the stability of financial markets. This model shows that overpricing of securities is solely attributable to the subjective second moment beliefs of investors. Thus, short-sale constraints prevent a market decline only if investors have low dispersion of beliefs, which in the model is embodied in the covariance matrix. Moreover, the author analyses the consequences of short-sale constraints on the investor’s portfolio selection, risk-taking behaviour as well as default probability. The author develops criteria that allow to analyse the effectiveness of short-sale constraints in reducing portfolio risk as well as default risk.

Financial Markets Theory

Author : Emilio Barucci
Publisher : Springer
ISBN 13 : 1447173228
Total Pages : 843 pages
Book Rating : 4.4/5 (471 download)

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Book Synopsis Financial Markets Theory by : Emilio Barucci

Download or read book Financial Markets Theory written by Emilio Barucci and published by Springer. This book was released on 2017-06-08 with total page 843 pages. Available in PDF, EPUB and Kindle. Book excerpt: This work, now in a thoroughly revised second edition, presents the economic foundations of financial markets theory from a mathematically rigorous standpoint and offers a self-contained critical discussion based on empirical results. It is the only textbook on the subject to include more than two hundred exercises, with detailed solutions to selected exercises. Financial Markets Theory covers classical asset pricing theory in great detail, including utility theory, equilibrium theory, portfolio selection, mean-variance portfolio theory, CAPM, CCAPM, APT, and the Modigliani-Miller theorem. Starting from an analysis of the empirical evidence on the theory, the authors provide a discussion of the relevant literature, pointing out the main advances in classical asset pricing theory and the new approaches designed to address asset pricing puzzles and open problems (e.g., behavioral finance). Later chapters in the book contain more advanced material, including on the role of information in financial markets, non-classical preferences, noise traders and market microstructure. This textbook is aimed at graduate students in mathematical finance and financial economics, but also serves as a useful reference for practitioners working in insurance, banking, investment funds and financial consultancy. Introducing necessary tools from microeconomic theory, this book is highly accessible and completely self-contained. Advance praise for the second edition: "Financial Markets Theory is comprehensive, rigorous, and yet highly accessible. With their second edition, Barucci and Fontana have set an even higher standard!"Darrell Duffie, Dean Witter Distinguished Professor of Finance, Graduate School of Business, Stanford University "This comprehensive book is a great self-contained source for studying most major theoretical aspects of financial economics. What makes the book particularly useful is that it provides a lot of intuition, detailed discussions of empirical implications, a very thorough survey of the related literature, and many completely solved exercises. The second edition covers more ground and provides many more proofs, and it will be a handy addition to the library of every student or researcher in the field."Jaksa Cvitanic, Richard N. Merkin Professor of Mathematical Finance, Caltech "The second edition of Financial Markets Theory by Barucci and Fontana is a superb achievement that knits together all aspects of modern finance theory, including financial markets microstructure, in a consistent and self-contained framework. Many exercises, together with their detailed solutions, make this book indispensable for serious students in finance."Michel Crouhy, Head of Research and Development, NATIXIS

Handbook of Stochastic Analysis and Applications

Author : D. Kannan
Publisher : CRC Press
ISBN 13 : 9780824706609
Total Pages : 800 pages
Book Rating : 4.7/5 (66 download)

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Book Synopsis Handbook of Stochastic Analysis and Applications by : D. Kannan

Download or read book Handbook of Stochastic Analysis and Applications written by D. Kannan and published by CRC Press. This book was released on 2001-10-23 with total page 800 pages. Available in PDF, EPUB and Kindle. Book excerpt: An introduction to general theories of stochastic processes and modern martingale theory. The volume focuses on consistency, stability and contractivity under geometric invariance in numerical analysis, and discusses problems related to implementation, simulation, variable step size algorithms, and random number generation.

Principles of Financial Economics

Author : Stephen F. LeRoy
Publisher : Cambridge University Press
ISBN 13 : 131606087X
Total Pages : 371 pages
Book Rating : 4.3/5 (16 download)

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Book Synopsis Principles of Financial Economics by : Stephen F. LeRoy

Download or read book Principles of Financial Economics written by Stephen F. LeRoy and published by Cambridge University Press. This book was released on 2014-08-11 with total page 371 pages. Available in PDF, EPUB and Kindle. Book excerpt: This second edition provides a rigorous yet accessible graduate-level introduction to financial economics. Since students often find the link between financial economics and equilibrium theory hard to grasp, less attention is given to purely financial topics, such as valuation of derivatives, and more emphasis is placed on making the connection with equilibrium theory explicit and clear. This book also provides a detailed study of two-date models because almost all of the key ideas in financial economics can be developed in the two-date setting. Substantial discussions and examples are included to make the ideas readily understandable. Several chapters in this new edition have been reordered and revised to deal with portfolio restrictions sequentially and more clearly, and an extended discussion on portfolio choice and optimal allocation of risk is available. The most important additions are new chapters on infinite-time security markets, exploring, among other topics, the possibility of price bubbles.