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Dynamic choice and asset markets

Dynamic choice and asset markets (Loan 1 times)

Material type
단행본
Personal Author
Altug, Sumru. Labadie, Pamela, 1953-.
Title Statement
Dynamic choice and asset markets / Sumru Altug, Pamela Labadie.
Publication, Distribution, etc
San Diego :   Academic Press,   c1994.  
Physical Medium
xiii, 374 p. ; 24 cm.
ISBN
0120554550
Bibliography, Etc. Note
Includes bibliographical references (p. 339-367) and index.
Subject Added Entry-Topical Term
Capital assets pricing models. Investments --Mathematical models.
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001 000000923783
005 19990121140703.0
008 940607s1994 cau b 001 0 eng
010 ▼a 94025749 //r95
020 ▼a 0120554550
040 ▼a DLC ▼c DLC ▼d DLC ▼d 244002
049 0 ▼l 151045963
050 0 0 ▼a HG4636 ▼b .A45 1994
082 0 0 ▼a 332.6/01/5118 ▼2 20
090 ▼a 332.601511 ▼b A469d
100 1 ▼a Altug, Sumru.
245 1 0 ▼a Dynamic choice and asset markets / ▼c Sumru Altug, Pamela Labadie.
260 ▼a San Diego : ▼b Academic Press, ▼c c1994.
300 ▼a xiii, 374 p. ; ▼c 24 cm.
504 ▼a Includes bibliographical references (p. 339-367) and index.
650 0 ▼a Capital assets pricing models.
650 0 ▼a Investments ▼x Mathematical models.
700 1 ▼a Labadie, Pamela, ▼d 1953-.

Holdings Information

No. Location Call Number Accession No. Availability Due Date Make a Reservation Service
No. 1 Location Sejong Academic Information Center/Social Science/ Call Number 332.601511 A469d Accession No. 151045963 Availability Available Due Date Make a Reservation Service C

Contents information

Table of Contents


CONTENTS
Preface = xi
1 Introduction = 1
 1. Equilibrium: Some Introductory Concepts = 2
  1.1. Complete Contingent Claims Equilibriurm = 2
  1.2. Security Market Equilibrium = 5
  1.3. Arbitrage and Asset Valuation = 8
  1.4. Asset Pricing Relations = 10
  1.5. Complete Markets and the Composite Consumer = 12
  1.6. CAPM and APT= 14
 2. Risk Aversion = 16
  2.1. Measures of Risk Aversion = 16
  2.2. Measures of Increasing Risk = 19
 3. Aggregation = 22
 4. Risk-Sharing = 26
 5. Dynamic Programming = 29
  5.1. A Consumption and Savings Problem = 29
  5.2. Mathematical Preliminaries = 32
  5.3. Optimal Constimption and Savings Choices = 36
 6. Exercises = 37
2 Consumption and Asset Pricing = 41
 1. A Basic Asset Pricing Model = 41
  1.1. Discount Bonds and the Yield Curve = 51
  1.2. Pricing Derivative Instruments = 55
  1.3. Pricing Contingent Claims Contracts = 57
  1.4. Portfolio Separation = 60
  1.5. A Growing Economy = 62
 2. Extensions of the Basic Model = 66
  2.1. Habit Persistence and Consumption Durability = 66
  2.2. Pricing Durable Consumption Goods = 68
  2.3. The Nonexpected Utility Hypothesis = 72
 3. Solving Asset Pricing Models = 76
 4. Exercises = 81
3 Tests of Asset Pricing Relations = 87
 1. Eulet Equation-Based Tests = 88
  1.1. Stochastic Processes: Basic Concepts = 90
  1.2. Estimation Method = 93
  1.3. Empirical Evidence = 99
 2. Volatility Bounds for Model = 109
 3. Variance Bounds Tests = 115
  3.1. The Present-Value Model = 115
  3.2. Criticisms of Variance Bounds Tests = 119
  3.3, New Developments = 121
 4. Conditional Volatility and Nonlinearity in Asset Prices = 125
  4.1. Variants of ARCH = 126
  4.2. Testing for Nonlinearities = 130
 5. Bootstrapping = 134
  5.1. Stock Returns and Technical Trading Rules = 135
 6. Exercises = 139
4 Models with Production and Capital Accumulation = 143
 1. The One-Sector Optimal Growth Model = 144
  1.1. Optimal Policy Functions = 144
  1.2. The Growth Model and the Data = 149
 2. Asset pricing with Production = 158
 3. Financial Structure, Taxes and Investment = 165
  3.1. Financial Structure of a Firm = 165
  3.2. Taxes and Capital Accumulation = 175
  3.3. The Q-theory of Investment = 179
 4. Dynamic Discrete Choice = 185
  4.1. A Search Model = 186
  4.2. A Matching Model = 189
  4.3. A Model of Replacement Investment = 199
 5. Exercises = 204
5 Inflation and Asset Returns = 209
 1. The Basic Cash-in-Advance Model = 209
  1.1. Velocity and Interest Rates = 218
  1.2. Inflation Risk and the Inflation Premium = 219
 2. Variants of Cash-in-Advance Models = 223
  2.1. The Cash-Credit Model = 224
  2.2. A Model with a Consumption-Leisure Choice = 228
  2.3. Liquidity Effects and Asset Prices = 236
 3. Timing of Information = 242
 4. Exercises = 245
6 International Asset Markets = 249
 1. A Two-Country Model = 250
  1.1. The Terms of Trade and the Exchange Rate = 256
  1.2. Pricing Alternative Assets = 260
 2. Variants of the Basic Model = 265
  2.1. Nontraded Goods = 265
  2.2. Exchange Rates and International Capital Flows = 270
 3. The Empirical Behavior of Foreign Exchange Markets = 278
  3.1. Regression-Based Tests = 279
  3.2. Models of Risk Premia = 284
  3.3. Risk Premia, or Expectational Errors? = 286
  3.4. Modeling Short-Term Changes in Exchange Rates = 288
 4. Exercises = 291
7 Asset Markets with Heterogeneous Populations = 295
 1. Equilibrium Models for Panel Data = 296
  1.1. Applications = 296
  1.2. A Factor Structure = 304
  1.3. Tests of Risk-Sharing = 310
  1.4. Extensions = 314
 2. Models with Private Information = 316
  2.1. The Principal-Agent Problem = 318
  2.2. Moral Hazard and Managerial Compensation = 324
 3. Exercises = 333
References = 339
Index = 369


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