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. 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.
- We’ll develop the theory of dynamic programming in continuous time and use it to study portfolio choice and some corporate investment decisions.
- The atmosphere at Rice University must be one of academic and personal integrity.
- Each chapter
includes a « Notes and References » section providing additional
pathways to the literature. - 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. As stated previously, the scheme is the first step that the board has taken to allow shareholders to unlock the true value of their shares. For members applying for a partial redemption, new share certificates will be issued by August 10, 2019. According to the board, “this represents an individual price of €619.50 for every co-op share”.
Institutional account management
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. 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.
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 asset pricing and portfolio choice theory finance. We take supply (a topic in corporate finance) as given in this course and study demand (portfolio choice). For librarians and administrators, your personal account also provides access to institutional account management.
Rice Business Wisdom
Each chapter
includes a « Notes and References » section providing additional
pathways to the literature. This book is intended as a textbook for asset pricing theory courses at the Ph.D. or Masters in Quantitative Finance level and as a reference for financial researchers. 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.
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. For full access to this pdf, sign in to an existing account, or purchase an annual subscription. Some societies use Oxford Academic personal accounts to provide access to their members. Choose this option to get remote access when outside your institution. Shibboleth / Open Athens technology is used to provide single sign-on between your institution’s website and Oxford Academic.
Dynamic Models
Our books are available by subscription or purchase to libraries and institutions. Grades will be based 20% on biweekly individual homework assignments, 20% on the midterm exam, 10% on class participation, and 50% on the final exam. If your institution is not listed or you cannot sign in to your institution’s website, please contact your librarian or administrator. The intent of the Honor Code in general and specifically in this course is to ensure that each student claims and receives credit for their own efforts.
PRINCIPLES OF FINANCIAL ECONOMICS Second Edition
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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 and finance as well.
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