"Asset Pricing Theory" is an advanced textbook for doctoral
students and researchers that offers a modern introduction to the
theoretical and methodological foundations of competitive asset
pricing. Costis Skiadas develops in depth the fundamentals of
arbitrage pricing, mean-variance analysis, equilibrium pricing, and
optimal consumption/portfolio choice in discrete settings, but with
emphasis on geometric and martingale methods that facilitate an
effortless transition to the more advanced continuous-time
theory.
Among the book's many innovations are its use of recursive
utility as the benchmark representation of dynamic preferences, and
an associated theory of equilibrium pricing and optimal portfolio
choice that goes beyond the existing literature.
"Asset Pricing Theory" is complete with extensive exercises at
the end of every chapter and comprehensive mathematical appendixes,
making this book a self-contained resource for graduate students
and academic researchers, as well as mathematically sophisticated
practitioners seeking a deeper understanding of concepts and
methods on which practical models are built.Covers in depth the
modern theoretical foundations of competitive asset pricing and
consumption/portfolio choice Uses recursive utility as the
benchmark preference representation in dynamic settings Sets the
foundations for advanced modeling using geometric arguments and
martingale methodology Features self-contained mathematical
appendixes Includes extensive end-of-chapter exercises
General
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