Asset pricing and portfolio choice theory

著者

書誌事項

Asset pricing and portfolio choice theory

Kerry E. Back

（Financial Management Association survey and synthesis series）

Oxford University Press, 2010

  • : hbk

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注記

Includes bibliographical references (p. [467]-480) and index

内容説明・目次

内容説明

This book is intended as a textbook for Ph.D. students in finance and as a reference book for academics. It is written at an introductory level but includes detailed proofs and calculations as section appendices. It covers the classical results on single-period, discrete-time, and continuous-time models. It also treats various proposed explanations for the equity premium and risk-free rate puzzles: persistent heterogeneous idiosyncratic risks, internal habits, external habits, and recursive utility. Most of the book assumes rational behavior, but two topics important for behavioral finance are covered: heterogeneous beliefs and non-expected-utility preferences. There are also chapters on asymmetric information and production models. The book includes numerous exercises designed to provide practice with the concepts and also to introduce additional results. Each chapter concludes with a notes and references section that supplies references to additional developments in the field.

目次

  • Preface
  • I Single-Period Models
  • 1 Utility Functions and Risk Aversion Coefficients
  • 1.1 Uniqueness of Utility Functions
  • 1.2 Concavity and Risk Aversion
  • 1.3 Coefficients of Risk Aversion
  • 1.4 Risk Aversion and Risk Premia
  • 1.5 Constant Absolute Risk Aversion
  • 1.6 Constant Relative Risk Aversion
  • 1.7 Linear Risk Tolerance
  • 1.8 Conditioning and Aversion to Noise
  • 1.9 Notes and References
  • Exercises
  • 2 Portfolio Choice and Stochastic Discount Factors
  • 2.1 The First-Order Condition
  • 2.2 Stochastic Discount Factors
  • 2.3 A Single Risky Asset
  • 2.4 Linear Risk Tolerance
  • 2.5 Multiple Asset CARA-Normal Example
  • 2.6 Mean-Variance Preferences
  • 2.7 Complete Markets
  • 2.8 Beginning-of-Period Consumption
  • 2.9 Time-Additive Utility
  • 2.10 Notes and References
  • Exercises
  • 3 Equilibrium and Efficiency
  • 3.1 Pareto Optima
  • 3.2 Social Planner's Problem
  • 3.3 Pareto Optima and Sharing Rules
  • 3.4 Competitive Equilibria
  • 3.5 Complete Markets
  • 3.6 Linear Risk Tolerance
  • 3.7 Beginning-of-Period Consumption 1
  • 3.8 Notes and References
  • Exercises
  • 4 Arbitrage and Stochastic Discount Factors
  • 4.1 Fundamental Theorem on Existence of SDF's
  • 4.2 Law of One Price and Stochastic Discount Factors
  • 4.3 Risk Neutral Probabilities
  • 4.4 Projecting SDF's onto the Asset Span
  • 4.5 Projecting onto a Constant and the Asset Span
  • 4.6 Hansen-Jagannathan Bound with a Risk-Free Asset
  • 4.7 Hansen-Jagannathan Bound with No Risk-Free Asset
  • 4.8 Hilbert Spaces and Gram-Schmidt Orthogonalization
  • 4.9 Notes and References Exercises
  • 5 Mean-Variance Analysis
  • 5.1 The Calculus Approach
  • 5.2 Two-Fund Spanning
  • 5.3 The Mean-Standard Deviation Trade-Off
  • 5.4 GMV Portfolio and Mean-Variance Efficiency
  • 5.5 Calculus Approach with a Risk-Free Asset
  • 5.6 Two-Fund Spanning Again
  • 5.7 Orthogonal Projections and Frontier Returns
  • 5.8 Risk-Free Return Proxies
  • 5.9 Inefficiency of ~Rp
  • 5.10 Hansen-Jagannathan Bound with a Risk-Free Asset
  • 5.11 Frontier Returns and Stochastic Discount Factors
  • 5.12 Separating Distributions
  • 5.13 Notes and References
  • Exercises
  • 6 Beta Pricing Models
  • 6.1 Beta Pricing
  • 6.2 Single-Factor Models with Returns as Factors
  • 6.3 The Capital Asset Pricing Model
  • 6.4 Returns and Excess Returns as Factors
  • 6.5 Projecting Factors on Returns and Excess Returns
  • 6.6 Beta Pricing and Stochastic Discount Factors
  • 6.7 Arbitrage Pricing Theory
  • 6.8 Notes and References
  • Exercises
  • 7 Representative Investors
  • 7.1 Pareto Optimality Implies a Representative Investor
  • 7.2 Linear Risk Tolerance
  • 7.3 Consumption-Based Asset Pricing
  • 7.4 Pricing Options
  • 7.5 Notes and References
  • Exercises
  • II Dynamic Models
  • 8 Dynamic Securities Markets
  • 8.1 The Portfolio Choice Problem
  • 8.2 Stochastic Discount Factor Processes
  • 8.3 Self-Financing Wealth Processes
  • 8.4 The Martingale Property
  • 8.5 Transversality Conditions and Ponzi Schemes
  • 8.6 The Euler Equation
  • 8.7 Arbitrage and the Law of One Price
  • 8.8 Risk Neutral Probabilities
  • 8.9 Complete Markets
  • 8.10 Portfolio Choice in Complete Markets
  • 8.11 Competitive Equilibria
  • 8.12 Notes and References
  • Exercises
  • 9 Portfolio Choice by Dynamic Programming
  • 9.1 Introduction to Dynamic Programming
  • 9.2 Bellman Equation for Portfolio Choice
  • 9.3 The Envelope Condition
  • 9.4 Maximizing CRRA Utility of Terminal Wealth
  • 9.5 CRRA Utility with Intermediate Consumption
  • 9.6 CRRA Utility with an Infinite Horizon
  • 9.7 Notes and References
  • Exercises
  • 10 Conditional Beta Pricing Models
  • 10.1 From Conditional to Unconditional Models
  • 10.2 The Conditional CAPM
  • 10.3 The Consumption-Based CAPM
  • 10.4 The Intertemporal CAPM
  • 10.5 An Approximate CAPM
  • 10.6 Notes and References
  • Exercises
  • 11 Some Dynamic Equilibrium Models
  • 11.1 Representative Investors
  • 11.2 Valuing the Market Portfolio
  • 11.3 The Risk-Free Return
  • 11.4 The Equity Premium Puzzle
  • 11.5 The Risk-Free Rate Puzzle
  • 11.6 Uninsurable Idiosyncratic Income Risk
  • 11.7 External Habits
  • 11.8 Notes and References
  • Exercises
  • 12 Brownian Motion and Stochastic Calculus
  • 12.1 Brownian Motion
  • 12.2 Quadratic Variation
  • 12.3 Ito Integral
  • 12.4 Local Martingales and Doubling Strategies
  • 12.5 Ito Processes
  • 12.6 Asset and Portfolio Returns
  • 12.7 Martingale Representation Theorem
  • 12.8 Ito's Formula: Version I
  • 12.9 Geometric Brownian Motion
  • 12.10 Covariations of Ito Processes
  • 12.11 Ito's Formula: Version II
  • 12.12 Conditional Variances and Covariances
  • 12.13 Transformations of Models
  • 12.14 Notes and References
  • Exercises
  • 13 Continuous-Time Securities Markets and SDF Processes
  • 13.1 Dividend-Reinvested Asset Prices
  • 13.2 Securities Markets
  • 13.3 Self-Financing Wealth Processes
  • 13.4 Conditional Mean-Variance Frontier
  • 13.5 Stochastic Discount Factor Processes
  • 13.6 Properties of SDF Processes
  • 13.7 Sufficient Conditions for MW to be a Martingale
  • 13.8 Valuing Consumption Streams
  • 13.9 Risk Neutral Probabilities
  • 13.10 Complete Markets
  • 13.11 SDF Processes without a Risk-Free Asset
  • 13.12 Inflation and Foreign Exchange
  • 13.13 Notes and References
  • Exercises
  • 14 Continuous-Time Portfolio Choice and Beta Pricing
  • 14.1 The Static Budget Constraint
  • 14.2 Complete Markets
  • 12 CONTENTS
  • 14.3 Constant Capital Market Line
  • 14.4 Dynamic Programming Example
  • 14.5 General Markovian Portfolio Choice
  • 14.6 The CCAPM
  • 14.7 The ICAPM
  • 14.8 The CAPM
  • 14.9 Infinite-Horizon Dynamic Programming
  • 14.10 Dynamic Programming with CRRA Utility
  • 14.11 Verification Theorem
  • 14.12 Notes and References
  • Exercises
  • III Derivative Securities
  • 15 Option Pricing
  • 15.1 Introduction to Options
  • 15.2 Put-Call Parity and Option Bounds
  • 15.3 SDF Processes
  • 15.4 Changes of Measure
  • 15.5 Market Completeness
  • 15.6 The Black-Scholes Formula
  • 15.7 Delta Hedging
  • 15.8 The Fundamental PDE
  • 15.9 American Options
  • 15.10 Smooth Pasting
  • 15.11 European Options on Dividend-Paying Assets
  • 15.12 Notes and References
  • Exercises
  • 16 Forwards, Futures, and More Option Pricing
  • 16.1 Forward Measures
  • 16.2 Forward Contracts
  • 16.3 Futures Contracts
  • 16.4 Exchange Options
  • 16.5 Options on Forwards and Futures
  • 16.6 Dividends and Random Interest Rates
  • 16.7 Implied Volatilities and Local Volatilities
  • 16.8 Stochastic Volatility
  • 16.9 Notes and References
  • 17 Term Structure Models
  • 17.1 Vasicek Model
  • 17.2 Cox-Ingersoll-Ross Model
  • 17.3 Multi-Factor CIR Models
  • 17.4 Affine Models
  • 1
  • 17.6 Quadratic Models
  • 17.7 Forward Rates
  • 17.8 Fitting the Yield Curve
  • 17.9 Heath-Jarrow-Morton Models
  • 17.10 Notes and References
  • Exercises
  • IV Topics
  • 18 Heterogeneous Priors
  • 18.1 State-Dependent Utility Formulation
  • 18.2 Representative Investors in Complete Single-Period Markets
  • 18.3 Representative Investors in Complete Dynamic Markets
  • 18.4 Short Sales Constraints and Biased Prices
  • 18.5 Speculative Trade
  • 18.6 Notes and References
  • Exercises
  • 19 Asymmetric Information
  • 19.1 The No-Trade Theorem
  • 19.2 Normal-Normal Updating
  • 19.3 A Fully Revealing Equilibrium
  • 19.5 A Model with a Large Number of Investors
  • 19.7 The Kyle Model in Continuous Time
  • 19.8 Notes and References
  • Exercises
  • 20 Alternative Preferences in Single-Period Models
  • 20.1 The Ellsberg Paradox
  • 20.2 The Sure Thing Principle
  • 20.3 Multiple Priors and Max-Min Utility
  • 20.4 Non-Additive Set Functions
  • 20.5 The Allais Paradox
  • 20.6 The Independence Axiom
  • 20.7 Betweenness Preferences
  • 20.8 Rank-Dependent Preferences
  • 20.9 First-Order Risk Aversion
  • 20.10 Framing and Loss Aversion
  • 20.11 Prospect Theory
  • 20.12 Notes and References
  • Exercises
  • 21 Alternative Preferences in Dynamic Models
  • 21.1 Recursive Preferences
  • 21.2 Portfolio Choice with Epstein-Zin-Weil Utility
  • 21.3 A Representative Investor with Epstein-Zin-Weil Utility
  • 21.4 Internal Habits
  • 21.5 Linear Internal Habits in Complete Markets
  • 21.6 A Representative Investor with an Internal Habit
  • 21.7 Keeping/Catching Up with the Joneses
  • 21.8 Ambiguity Aversion in Dynamic Models
  • 21.9 Notes and References
  • Exercises
  • 22 Production Models
  • 22.1 Discrete-Time Model
  • 22.2 Marginal q
  • 22.3 Costly Reversibility
  • 22.4 Project Risk and Firm Risk
  • 22.5 Irreversibility and Options
  • 22.6 Irreversibility and Perfect Competition
  • 22.7 Irreversibility and Risk
  • 22.8 Irreversibility and Perfect Competition: An Example
  • 22.9 Notes and References
  • Exercises
  • Appendices
  • A Some Probability and Stochastic Process Theory
  • A.1 Random Variables
  • A.2 Probabilities
  • A.3 Distribution Functions and Densities
  • A.4 Expectations
  • A.5 Convergence of Expectations
  • A.6 Interchange of Differentiation and Expectation
  • A.7 Random Vectors
  • A.8 Conditioning
  • A.9 Independence
  • A.10 Equivalent Probability Measures
  • A.11 Filtrations, Martingales, and Stopping Times
  • A.12 Martingales under Equivalent Measures
  • A.13 Local Martingales
  • A.14 The Usual Conditions
  • Notes
  • References
  • Index

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