Asset Pricing and Portfolio Choice Theory
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A01=Kerry Back
Author_Kerry Back
Category=KFFH
Category=KFFM
Category=KJQ
Category=PBW
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eq_business-finance-law
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Product details
- ISBN 9780195380613
- Weight: 816g
- Dimensions: 157 x 236mm
- Publication Date: 30 Sep 2010
- Publisher: Oxford University Press Inc
- Publication City/Country: US
- Product Form: Hardback
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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 rate puzzles: persistent heterogeneous idiosyncratic risks, internal habits, external habits, and recursive utility. Most of the book assumes rational behavior, but two topics important for behavioral finance are covered: heterogeneous beliefs and non-expected-utility preferences. There are also chapters on asymmetric information and production models. The book includes numerous exercises designed to provide practice with the concepts and also to introduce additional results. Each chapter concludes with a notes and references section that supplies references to additional developments in the field.
Kerry Back is a co-editor of Finance & Stochastics, an associate editor of the Journal of Finance, and a former editor of the Review of Financial Studies. He has received various research and teaching awards, including a Batterymarch Fellowship, and is the author of A Course in Derivative Securities: Introduction to Theory and Computation (Springer) as well as numerous journal articles in finance, economics, and mathematics.
