Financial economics asset pricing and portfolio selection. Asset pricing and portfolio choice theory by kerry back, 97801953806, available at. If youre looking for a free download links of asset pricing and portfolio choice theory financial management association survey and synthesis pdf, epub, docx and torrent then this site is not for you. Pdf asset pricing and portfolio choice theory semantic scholar. By striking a balance between fundamental theories and cuttingedge research, pennacchi offers the reader a wellrounded introduction to modern asset pricing theory. Risk aversion coefficients and portfolio choice dd5,l4 5. In asset pricing and portfolio choice theory, kerry e. For valuation, the focus throughout is on stochastic discount factors and their properties. Chinese translation by shanghai peoples publishing house. Theory of asset pricing unifies the central tenets and techniques of asset valuation into a single, comprehensive resource that is ideal for the first phd course in asset pricing. To be fair, professor backs website always had a regularly updated errata sheet. Portfolio choice and asset pricing in a status conscious economy. Introduction to asset pricing theory the theory of asset pricing is concerned with explaining and determining prices of. To the extent that managing portfolios with a larger number of assets is more costly e.
The investors problem is to choose the best portfolio p. If t is the same for everybody all investors agree on what are the tangent weights, then t is the market portfolio m. Contents data are machine generated based on prepublication provided by the publisher. Asset pricing and portfolio choice theory this book covers the classical results on singleperiod, discretetime, and continuoustime models of portfolio choice and asset pricing. Some knowledge of the empirical issues in academic finance are required for it to make sense. Asset pricing and portfolio choice theory oxford scholarship. It will be useful to graduate students and advanced undergraduate students in economics, finance, financial engineering, and management. This book is intended as a textbook for asset pricing theory courses at the ph. Jun 25, 2019 arbitrage pricing theory apt is a multifactor asset pricing model based on the idea that an assets returns can be predicted using the linear relationship between the assets expected return.
Firstly, it serves as a guide to understanding some of the important intuitions from portfolio theory and the capital asset pricing model capm. Asset pricing and portfolio choice theory second edition kerry e. Table of contents for theory of asset pricing george pennacchi. An individual user may print out a pdf of a single chapter of a monograph in oso for personal use. This is a thoroughly updated edition of dynamic asset pricing theory, the standard text for doctoral students and researchers on the theory of asset pricing and portfolio selection in multiperiod settings under uncertainty. Jan 01, 2010 in asset pricing and portfolio choice theory, kerry e. Korajczyk kellogg graduate school of management northwestern university 2001 sheridan road evanston, il 602082001 8474918336 may 11, 1999. Topics covered include i noarbitrage, arrowdebreu prices, and equivalent. Kerry back offers us a rigorous, but accessible treatment of the asset pricing theory concepts that every. Thus, throughout the paper we refer to the sharpelintnerblack model as the capm. Asset pricing and portfolio choice theory by kerry back.
Useful as a textbook for graduate students in finance, with extensive exercises and a solutions manual available for professors, the book will also serve as an essential reference for scholars and. In addition, less wealthy investors underdiversify more than wealthier. The elements of the course that focus on derivative pricing are based on. The first two parts of the book explain portfolio choice and asset pricing theory in single. Fins4776fins5576 asset pricing theory course outline. Preface to the first edition xv preface to the second edition xvi asset pricing and portfolio puzzles xvii part one singleperiod models 1. Wang 2005, kan and zhou 2007, golosnoy and okhrin 2007. In asset pricing and portfolio choice theory kerry back has given us a comprehensive, rigorous and at the same time elegant and selfcontained treatment of the important developments in this vast literature. Bibliographic record and links to related information available from the library of congress catalog. Backasset pricing and portfolio choice theoryoxford university press 2017. The asset prices we discuss would include prices of bonds and stocks, interest rates, exchange rates, and derivatives of all these underlying. It is built on the earlier work of harry markowitz 1959 who developed the meanvariance model or model of portfolio choice. Asset pricing and portfolio choice theory, oxford university press, 2010. Evidence from the portfolio framework, mpra paper 57726, university library of munich.
Kerry back 2010, asset pricing and portfolio choice theory, oxford. These models are born out of modern portfolio theory, with the capital asset pricing model capm as the prototypical result. Intended as a textbook for asset pricing theory courses at the ph. Pdfasset pricing and portfolio choice theory free ebooks. Asset pricing and portfolio choice theory kerry back. Orthogonal protections for quadratic utility 206 9. Models, strategy, and performance metrics robert a. Asset pricing and portfolio choice theory, 2 edition download. Asset pricing and portfolio choice theory kerry back ebok. Leroy and jan werner l, 2001, principles of financial economics, cambridge university press optional. Kerry back 2010, asset pricing and portfolio choice theory, oxford university press stephen f. Jan 18, 2011 this is a critique of asset pricing theory. Asset pricing and excess returns over the market return, working papers 201712, university of miami, department of economics.
Kerry back asset pricing solutions manual economics job. Asset pricing and portfolio choice theory econpapers. Certainty equivalents and secondorder risk aversion 8 1. Kerry back 2010, asset pricing and portfolio choice theory, oxford university. Essays on asset pricing and portfolio choice abstract the first chapter offers an explanation for the properties of the nominal term structure of interest rates and. Useful as a textbook for graduate students in finance, with extensive exercises and a solutions manual available for professors, the book will also serve as an essential reference. The first two parts of the book explain portfolio choice and asset pricing theory in singleperiod, discretetime, and continuoustime models. The asset pricing results are based on the three increasingly restrictive assumptions. However, many households that hold individual stocks directly hold only a single stock, and the median number of stocks held is only about three 30. Back at last offers what is at once a welcoming introduction to and a comprehensive overview of asset pricing. Back offers a concise yet comprehensive introduction to and overview of asset pricing. It also treats asymmetric information, production models, various proposed explanations for the equity premium puzzle, and topics important for behavioral finance. Asset pricing and portfolio choice theory ebook, 2010 worldcat.
Introduction to theory and com putation, springer, berlin. Useful as a textbook for graduate students in finance, with extensive exercises and a solutions manual available for. It is easy to foresee this text becoming a new standard in finance phd courses as well as a valued reference for seasoned finance scholars everywhere. Financial economics asset pricing and portfolio selection lecture 4 hongtao zhou 4 arbitrage and stochastic discount factors the previous chapter established that, under fairly restrictive conditions, there is a stochastic discount factor that is a function of market wealth in fact, proportional to a repre. The capital asset pricing model capm was introduced by william sharpe 1964 and john lintner 1965, resulting in a nobel prize for sharpe in 1990. Useful as a textbook for graduate students in finance, with extensive exercises and a solutions manual available for professors, the book will also serve as an essential reference for scholars and professionals, as it includes. Asset pricing and portfolio choice theory financial. Here asset prices jointly satisfy the requirement that the quantities of each asset supplied and the quantities demanded must be equal at that price so called market clearing. Sep 10, 2010 kerry back has created a masterful introduction to asset pricing and portfolio choice. Asset pricing and portfolio choice theory second edition. Useful as a textbook for graduate students in finance, with extensive exercises and a.