Introduction to theory and computation, springer, berlin. Asset pricing and portfolio choice theory oxford scholarship. Asset pricing and portfolio choice theory econpapers. Asset pricing and portfolio choice theory, 2 edition download. Wang 2005, kan and zhou 2007, golosnoy and okhrin 2007. Korajczyk kellogg graduate school of management northwestern university 2001 sheridan road evanston, il 602082001 8474918336 may 11, 1999. Jan 01, 2010 in asset pricing and portfolio choice theory, kerry e. Asset pricing and portfolio choice theory edition 1 by. Back at last offers what is at once a welcoming introduction to and a comprehensive overview of asset pricing. 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. Asset pricing and portfolio choice theory ebook, 2010 worldcat. The investors problem is to choose the best portfolio p. In asset pricing and portfolio choice theory, kerry e.
For valuation, the focus throughout is on stochastic discount factors and their properties. Preface to the first edition xv preface to the second edition xvi asset pricing and portfolio puzzles xvii part one singleperiod models 1. The asset pricing results are based on the three increasingly restrictive assumptions. Asset pricing and portfolio choice theory kerry back. Jun 25, 2019 arbitrage pricing theory apt is a multifactor asset pricing model based on the idea that an assets returns can be predicted using the linear relationship between the assets expected return. Kerry back asset pricing solutions manual economics job. 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. Useful as a textbook for graduate students in finance, with extensive exercises and a. Certainty equivalents and secondorder risk aversion 8 1. Thus, throughout the paper we refer to the sharpelintnerblack model as the capm. Orthogonal protections for quadratic utility 206 9.
This book is intended as a textbook for asset pricing theory courses at the ph. Risk aversion coefficients and portfolio choice dd5,l4 5. Essays on asset pricing and portfolio choice abstract the first chapter offers an explanation for the properties of the nominal term structure of interest rates and. The elements of the course that focus on derivative pricing are based on. Kerry back offers us a rigorous, but accessible treatment of the asset pricing theory concepts that every. Chinese translation by shanghai peoples publishing house. 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. Back offers a concise yet comprehensive introduction to and overview of asset pricing. Portfolio choice and asset pricing in a status conscious economy.
Asset pricing and portfolio choice theory second edition kerry e. Asset pricing and excess returns over the market return, working papers 201712, university of miami, department of economics. Useful as a textbook for graduate students in finance, with extensive exercises and a solutions manual available for. Table of contents for theory of asset pricing george pennacchi. Bibliographic record and links to related information available from the library of congress catalog. Models, strategy, and performance metrics robert a. Asset pricing and portfolio choice theory by kerry back, 97801953806, available at. Kop asset pricing and portfolio choice theory av kerry back pa. It is easy to foresee this text becoming a new standard in finance phd courses as well as a valued reference for seasoned finance scholars everywhere. In addition, less wealthy investors underdiversify more than wealthier.
Topics covered include i noarbitrage, arrowdebreu prices, and equivalent. Asset pricing and portfolio choice theory, oxford university press, 2010. Here asset prices jointly satisfy the requirement that the quantities of each asset supplied and the quantities demanded must be equal at that price so called market clearing. Intended as a textbook for asset pricing theory courses at the ph. Asset pricing and portfolio choice theory kerry back ebok. Introduction to theory and com putation, springer, berlin. Backasset pricing and portfolio choice theoryoxford university press 2017. Kerry back 2010, asset pricing and portfolio choice theory, oxford university press stephen f. Pdf asset pricing and portfolio choice theory semantic scholar. By striking a balance between fundamental theories and cuttingedge research, pennacchi offers the reader a wellrounded introduction to modern asset pricing theory. 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.
In asset pricing and portfolio choice theory kerry back has given us a comprehensive, rigorous and at the same time elegant and selfcontained treatment of the important developments in this vast literature. Introduction to asset pricing theory the theory of asset pricing is concerned with explaining and determining prices of. It is built on the earlier work of harry markowitz 1959 who developed the meanvariance model or model of portfolio choice. The key message of the model is that the expected excess return on a risky.
Asset pricing and portfolio choice theory second edition. Financial economics asset pricing and portfolio selection. Asset pricing and portfolio choice theory this book covers the classical results on singleperiod, discretetime, and continuoustime models of portfolio choice and asset pricing. The capital asset pricing model capm was introduced by william sharpe 1964 and john lintner 1965, resulting in a nobel prize for sharpe in 1990. Topics include microeconomic foundation of asset pricing theory, the noarbitrage principle and fundamental theorem, risk measurement and risk management, sequential portfolio choice, equity. However, many households that hold individual stocks directly hold only a single stock, and the median number of stocks held is only about three 30. If t is the same for everybody all investors agree on what are the tangent weights, then t is the market portfolio m.
If youre looking for a free download links of asset pricing and portfolio choice theory financial management association survey and synthesis pdf, epub, docx and torrent then this site is not for you. Firstly, it serves as a guide to understanding some of the important intuitions from portfolio theory and the capital asset pricing model capm. An individual user may print out a pdf of a single chapter of a monograph in oso for personal use. Jan 18, 2011 this is a critique of asset pricing theory. Asset pricing and portfolio choice theory financial. The first two parts of the book explain portfolio choice and asset pricing theory in singleperiod, discretetime, and continuoustime models. Leroy and jan werner l, 2001, principles of financial economics, cambridge university press optional. Financial economics asset pricing and portfolio selection lecture 4 hongtao zhou 4 arbitrage and stochastic discount factors the previous chapter established that, under fairly restrictive conditions, there is a stochastic discount factor that is a function of market wealth in fact, proportional to a repre.
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. Some knowledge of the empirical issues in academic finance are required for it to make sense. It also treats asymmetric information, production models, various proposed explanations for the equity premium puzzle, and topics important for behavioral finance. The first two parts of the book explain portfolio choice and asset pricing theory in single. To the extent that managing portfolios with a larger number of assets is more costly e. Sep 10, 2010 kerry back has created a masterful introduction to asset pricing and portfolio choice.
Contents data are machine generated based on prepublication provided by the publisher. These models are born out of modern portfolio theory, with the capital asset pricing model capm as the prototypical result. Pdfasset pricing and portfolio choice theory free ebooks. To be fair, professor backs website always had a regularly updated errata sheet. Evidence from the portfolio framework, mpra paper 57726, university library of munich. It will be useful to graduate students and advanced undergraduate students in economics, finance, financial engineering, and management. Fins4776fins5576 asset pricing theory course outline. The asset prices we discuss would include prices of bonds and stocks, interest rates, exchange rates, and derivatives of all these underlying. Asset pricing and portfolio choice theory financial management association. Kerry back 2010, asset pricing and portfolio choice theory, oxford. In the 2nd edition of asset pricing and portfolio choice theory, kerry e. A key insight of modern portfolio theory is the merits of diversi cation. Kerry back 2010, asset pricing and portfolio choice theory, oxford university. Asset pricing and portfolio choice theory by kerry back.
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