Financial Asset Pricing Theory offers a comprehensive overview of the classic and the current research in theoretical asset pricing. Asset pricing is developed around the concept of a state-price deflator which relates the price of any asset to its future (risky) dividends and thus incorporates how to adjust for both time and risk in asset valuation. Introduction Market Incompleteness I Address failures of the representative agent paradigm in asset pricing by relaxing complete markets leaving preferences standard and trading costless. I Break the tight link between individual consumption and per capita consumption! I Dynamic self-insurance fails due to the permanence of the income shock (one-to-one translation of income . This book is intended as a textbook for Ph.D. students in finance and as a reference book for academics. It is written at an introductory level but includes detailed proofs and calculations as section appendices. It covers the classical results on single-period, discrete-time, and continuous-time models. It also treats various proposed explanations for the equity premium and risk-free . This is a thoroughly updated edition of Dynamic Asset Pricing Theory, the standard text for doctoral students and researchers on the theory of asset pricing and portfolio selection in multiperiod settings under asset pricing results are based on the three increasingly restrictive assumptions: absence of arbitrage, single-agent optimality, and 5/5(1).

Praise for the First Edition: "This book provides a much-needed bridge between behavioral finance and traditional asset pricing theory, so that the insights from the two fields offer can complement each other. This book will make the theory of behavioral finance far more useful and broadly applicable.". (source: Nielsen Book Data) Summary From the field's leading authority, the most authoritative and comprehensive advanced-level textbook on asset pricing Financial Decisions and Markets is a graduate-level textbook that provides a broad overview of the field of asset pricing. Continuous-time finance was developed in the late sixties and early seventies by R. C. Merton. Over the years, due to its elegance and analytical conve nience, the continuous-time paradigm has become the standard tool of anal ysis in portfolio theory . Asset Pricing and Portfolio Choice Theory by Kerry Back, , available at Book Depository with free delivery worldwide/5(15).

For equities, asset pricing is more difficult as future cash flows are uncertain, and vary with both economic conditions and the fortune of the company. We need to project future expected cash flows, and also determine the expected return of the stock. The estimated expected return of the stock is based on an estimate of how risky the cash. Macroeconomic asset pricing models and Agent-based dynamics. We are studying the out-of-equilibrium dynamics of markets with learning agents in a Lucas framework of asset pricing. This work is motivated by the need to understand market dynamics like high price volatility and pricing bubbles, which are not explained by traditional equilibrium. An Information-Theoretic Asset Pricing Model Anisha Ghoshy Christian Julliardz Alex P. Taylorx Ma Abstract We show that a non-parametric estimate of the pricing kernel, extracted using an information-theoretic approach, delivers smaller out-of-sample pricing errors and a better cross-sectional t than leading factor Size: 1MB. A dynamic stochastic model of asset pricing with het-erogeneous beliefs Serena Brianzoni, Roy Cerqueti, Elisabetta Michetti Abstract This paper presents a new stochastic model of asset pricing, based on agents with hetero-geneous beliefs. Forecasting rules of all agents are characterized by a stochastic term thatFile Size: 1MB.