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DYNAMIC ASSET PRICING THEORY

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THIS BOOK IS an introduction to the theory of portfolio choice and asset pricing in multiperiod settings under uncertainty. An alternate title might be Arbitrage, Optimality, and Equilibrium, since the book is built around the three basic constraints on asset prices: absence of arbitrage, single-agent optimality, and market equilibrium. The most important unifying principle is that any of these three conditions implies that there are "state prices," meaning positive discount factors, one for each state and date, such that the price of any security is merely the state-price weighted sum of its future payoffs. This idea can be traced to Kenneth Arrow's (1953) invention of the general equilibrium model of security markets. Identifying the state prices is the major task at hand. Technicalities are given relatively little emphasis so as to simplify these concepts and to make plain the similarities between discrete-and continuous-time models. All continuous-time models are based on Brownian motion, despite the fact that most of the results extend easily to the case of a general abstract information filtration.

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Availability

10000931

332.6 DUF d

RLC MM (Rak Buku Umum)

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Detail Information

Series Title

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Statement of Responsibility

Darrell Duffie

Call Number

332.6 DUF d

Publisher

New Jersey : Princeton University Press., 1992

Collation

xvi, 299 p. : ill ; 24cm.

Language

English

ISBN/ISSN

0-691-04302-7

Classification

332.6

Content Type

-

Edition

-

Subject(s)

Buku Umum
Finance
Investing

Specific Detail Info

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