Asset pricing
Material type:
TextPublication details: Princeton Princeton University Press 2005Description: xvii,533p. ill. 24 cmISBN: - 9780691121376
- 332.6 22 CO-A
- HG4636 .C56 2005
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| Item type | Home library | Collection | Shelving location | Call number | Materials specified | Status | Date due | Barcode | |
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OPJGU Sonepat- Campus | General Books | Main Library | 332.6 CO-A (Browse shelf(Opens below)) | Available | 128151 |
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| 332.6 CA-S Sectors and styles a new approach to outperforming the market | 332.6 CH-I Investment analysis and portfolio management | 332.6 CH-I Investment analysis and portfolio management | 332.6 CO-A Asset pricing | 332.6 CO-B Backing winners | 332.6 CO-F Financial theory and corporate policy | 332.6 CR-L Laws of wealth |
Includes bibliographical references (p. 497-511) and indexes.
Consumption-based model and overview -- Applying the basic model -- Contingent claims markets -- The discount factor -- Mean-variance frontier and beta representations -- Relation between discount factors, betas, and mean-variance frontiers -- Implications of existence and equivalence theorems -- Conditioning information -- Factor pricing models -- GMM in explicit discount factor models -- GMM : general formulas and applications -- Regression-based tests of linear factor models -- GMM for linear factor models in discount factor form -- Maximum likelihood -- Time-series, cross-section, and GMM/DF tests of linear factor models -- Which method? -- Option pricing -- Option pricing without perfect replication -- Term structure of interest rates -- Expected returns in the time series and cross section -- Equity premium puzzle and consumption-based models -- Appendix: -- A.1 Brownian motion -- A.2 Diffusion model -- A.3 Ito's Lemma
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