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Principles of Financial Economics

ISBN-10: 0521586054

ISBN-13: 9780521586054

Edition: 2001

Authors: Stephen F. LeRoy, Jan Werner, Stephen A. Ross

List price: $44.99
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Description:

This graduate level introduction links financial economics with equilibrium theory and emphasises two-date models.
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Book details

List price: $44.99
Copyright year: 2001
Publisher: Cambridge University Press
Publication date: 11/20/2000
Binding: Paperback
Pages: 302
Size: 7.00" wide x 9.75" long x 0.75" tall
Weight: 1.144
Language: English

Stephen Ross is presently the Franco Modigliani Professor of Finance and Economics at the Sloan School of Management, Massachusetts Institute of Technology. One of the most widely published authors in finance and economics, Professor Ross is recognized for his work in developing the Arbitrage Pricing Theory and his substantial contributions to the discipline through his research in signaling, agency theory, option pricing, and the theory of the term structure of interest rates, among other topics. A past president of the American Finance Association, he currently serves as an associate editor of several academic and practitioner journals. He is a trustee of CalTech, a director of the College Retirement Equity Fund (CREF), and Freddie Mac. He is also the co-chairman of Roll and Ross Asset Management Corporation.

Equilibrium and Arbitrage
General equilibrium in security markets
Linear pricing
Arbitrage and positive pricing
Portfolio restrictions
Valuation
Valuation
State prices and risk-neutral probabilities
Valuation under portfolio restrictions
Risk
Expected utility
Risk aversion
Risk
Optimal Portfolios
Optimal portfolios with one risky security
Comparative statics of optimal portfolios
Optimal portfolios with several risky securities
Equilibrium Prices and Allocations
Consumption-based security pricing
Complete markets and Pareto-optimal allocations of risk
Optimality in incomplete security markets
Mean-Variance Models
The expectations and pricing kernels
The mean-variance frontier payoffs
CAPM
Factor pricing
Multidate Models
A multidate model of security markets
Multidate arbitrage and positivity
Dynamically complete markets
Valuation
Event process, risk-neutral probabilities and the pricing kernel
Security gains as martingales
Consumption-based security pricing
The frontier payoffs and the CAPM