動態經濟用的資産定價 9787510050749 世界圖書齣版公司 epub pdf mobi txt 電子書 下載 2024
發表於2024-11-05
動態經濟用的資産定價 9787510050749 世界圖書齣版公司 epub pdf mobi txt 電子書 下載 2024
基本信息
書名:動態經濟用的資産定價
定價:99.00元
作者:(英)奧特格
齣版社:世界圖書齣版公司
齣版日期:2013-01-01
ISBN:9787510050749
字數:
頁碼:
版次:1
裝幀:平裝
開本:24開
商品重量:0.763kg
編輯推薦
內容提要
The starting point for any analysis in finance involvesassigning a cur-rent price tO a future strearfi of uncertainpayoffs.This iS the basic notionbehind any asset.pricing model.Takefor example,the price of a sharetO a petitive firm.Since theshare entitles the owner to claims for the future profits of thefirm.a central problem iS tO assign a value to thesefutureprofits.Take another asset-a house.This provides housing ser-vicesin all states of nature and at all dates.Consequently,the value ofthehouse today must reflect the value of these futureservices。Other examplesinclude the pricing of durable goods orinvestment projects based on theirfuture expected marginalproducts.One approach tO moary economicsalso follows this basicprinciple-if money as an asset has value in equilib,rium(in theabsence of any legal restrictions),then this value must reflectthestream of services provided by this asset.
Our approach is tO derive pricing relationships for differentassets byspecilying the economic environment at the outset.OHe ofthe earliestexamples of this approach is Merton〔342〕.However,Mertondoes notrelate the technological sources of uncertainty tO theequilibrium prices ofthe riskv assets.AIternatively,he assumes agiven stochastic process for thereturns of different types ofassets and then prices them given assumptionsabout consumerpreferences.Consequently,the supply side is not explic.itlyconsidered by Merton.The asset-pricing model of Lucas〔317〕isfullygeneral equilibrium but it iS an endowment economy,SO thatconsumptionand investment decisions are trivial.Brock〔76〕developsan asset.pricingmodel with both the demand and supply side fullyspecified and links itup tO Ross‘s〔369〕arbitrage pricingmodel.
In this book,we will start from an explicit economic environmentanddeduce the implications for asset prices,and the form of theasset-pricingfulnction from the equilibrium in theseenvironments.To study the prob-lem of asset pricing,we COUId alsofollow another approach:we couldtake a very general and abstractapproach,Vmwlng asset pricing as thevaluation of a future stream ofuncertain payoffs from the asset accord.mg tO a general pricingfunction.(Aiven a minimal set ot assumpnonsabout the set ofpayoffs,we could try tO characterize the properties ofthis abstractpricing function.
目錄
List of figures
List of tables
Preface
I BASIC CONCEPTS
1 Complete contingent claims
2 Arbtrage and asset vauation
3 Expected utility
4 CAPM and APT
5 Consumption and saving
II RECURsIVE MODELS
6 Dynamic programming
7 Intertemporal risk sharing
8 Consumption and aSSet pricing
9 Non-separable preferences
10 Economies with production
11 Investment
12 Business cycles
III MONETARY AND INTERNATl0NAL MODEL5
13 Models with cash-in-advance constraints
14 International asset markets
IV MOQELS WITH MARKET INPLETENESS
15 Asset}3ricing with frictions
16 Borrowina constraints
17 Overlapping generations models
V SUPPLEMENTARYRY MATERIAL
A Mathematical appendix
A.1 Stochastic processes
A.2 Some useful theorems
Bibliography
Index
作者介紹
文摘
序言
動態經濟用的資産定價 9787510050749 世界圖書齣版公司 epub pdf mobi txt 電子書 下載 2024
動態經濟用的資産定價 9787510050749 世界圖書齣版公司 下載 epub mobi pdf txt 電子書動態經濟用的資産定價 9787510050749 世界圖書齣版公司 mobi pdf epub txt 電子書 下載 2024
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動態經濟用的資産定價 9787510050749 世界圖書齣版公司 epub pdf mobi txt 電子書 下載 2024