Asset pricing /
| Κύριος συγγραφέας: | Cochrane, John H. |
|---|---|
| Μορφή: | Βιβλίο |
| Γλώσσα: | English |
| Στοιχεία έκδοσης: |
Princeton, N.J. :
Princeton University Press,
2005.
|
| Έκδοση: | Αναθεωρημένη έκδοση. |
| Ταξινομικός αριθμός: |
332.6 COC |
| Θέματα: | |
| Διαθέσιμο Online: |
http://www.loc.gov/catdir/description/prin051/2004050561.html http://www.loc.gov/catdir/enhancements/fy0734/2004050561-b.html |
| Ετικέτες: |
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Πίνακας περιεχομένων:
- Consumption-based model and overview
- Applying the basic model
- Contingent claims markets
- The discount factor
- Mean-variance frontier and beta representations
- Relation between discount factors, betas, and mean-variance frontiers
- Implications of existence and equivalence theorems
- Conditioning information
- Factor pricing models
- GMM in explicit discount factor models
- GMM : general formulas and applications
- Regression-based tests of linear factor models
- GMM for linear factor models in discount factor form
- Maximum likelihood
- Time-series, cross-section, and GMM/DF tests of linear factor models
- Which method?
- Option pricing
- Option pricing without perfect replication
- Term structure of interest rates
- Expected returns in the time series and cross section
- Equity premium puzzle and consumption-based models
- Appendix:
- A.1 Brownian motion
- A.2 Diffusion model
- A.3 Ito's Lemma