LeRoy, Stephen F., Werner, J. 　著

内容

目次

Part I. Equilibrium and Arbitrage: 1. General equilibrium in securitymarkets; 2. Linear pricing; 3. Arbitrage and positive pricing; 4.Portfolio restrictions; Part II. Valuation: 5. Valuation; 6. Stateprices and risk-neutral probabilities; 7. Valuation under portfoliorestrictions; Part III. Risk: 8. Expected utility; 9. Risk aversion;10. Risk; Part IV. Optimal Portfolios: 11. Optimal portfolios with onerisky security; 12. Comparative statics of optimal portfolios; 13.Optimal portfolios with several risky securities; Part V. EquilibriumPrices and Allocations: 14. Consumption-based security pricing; 15.Complete markets and Pareto-optimal allocations of risk; 16. Optimalityin incomplete security markets; Part VI. Mean-Variance Models: 17. Theexpectations and pricing kernels; 18. The mean-variance frontierpayoffs; 19. CAPM; 20. Factor pricing; Part VII. Multidate Models: 21.A multidate model of security markets; 22. Multidate arbitrage andpositivity; 23. Dynamically complete markets; 24. Valuation; 25. Eventprocess, risk-neutral probabilities and the pricing kernel; 26.Security gains as martingales; 27. Consumption-based security pricing;28. The frontier payoffs and the CAPM.