内容

目次

List of boxes xi Preface xiii 1 Introduction 1 1.1 What Financetheory is about 1 1.2 Some history of thought 2 1.3 The importance of thepuzzles 7 1.4 Outline of the book 9 2 Contingent claim economy 10 2.1 Thecommodity space 10 2.2 Preferences and ordinal utility 14 2.3 Maximization16 2.4 General equilibrium 23 2.5 The representative agent 32 Notes on theliterature 35 Problems 35 3 Asset economy 37 3.1 Financial assets 37 3.2Pricing by redundancy 41 3.3 Radner economies 46 3.4 Complete markets (anduniqueness of Arrow prices) 53 3.5 Complications arising from marketincompleteness 60 Notes on the literature 65 Problems 65 4 Risky decisions68 4.1 Bernoulli's St.Petersburg paradox 69 4.2 Using more structure:probabilities and lotteries 71 4.3 The von Neumann -Morgensternrepresentation 75 4.4 Measures of risk preference 81 4.5 Assumptions andevidence 86 4.6 Often used specifications 91 Notes on the literature 99Problems 99 5 Staticfinance economy 102 5.1 An economy with von Neumann-Morgenstern agents 102 5.2 Efficient risk-sharing 107 5.3 A representativeNM agent 112 5.4 Who holds what kind of portfolio? 121 5.5 The stochasticdiscount factor 126 5.6 The equilibrium price of time 130 5.7 Theequilibrium price of risk 132 5.8 Some important special cases 134 Notes onthe literature 138 Problems 138 6 Dynamicfinance economy 141 6.1 A staticdynamic model 141 6.2 Dynamic trading 149 6.3 Models of the real interestrate 162 6.4 Portfolio selection 168 Notes on the literature 170 Problems170 7 Empirics and the puzzles 172 7.1 Collecting the right data 172 7.2The equity premium puzzle 176 7.3 Alternative interpretations of the data184 7.4 Excessive volatility 192 7.5 Anomalies 197 Notes on the literature198 8 Adapting the theory 199 8.1 Assumptions of the mainstream model 1998.2 Non-standard preferences 201 8.3 Heterogeneity 214 8.4 Efficiencyfailure 225 Notes on the literature 238 9 Epilog 239 9.1 A mystery 2409.2 A challenge 241 9.3 The party's over 242 Appendix A Symbols andnotation 245 Appendix B Solutions to the problem sets 247 Bibliography 269Index 285