A01=Costis Skiadas
Adapted process
Affine space
Affine transformation
Arbitrage
Arbitrage pricing theory
Author_Costis Skiadas
Bellman equation
Brownian motion
Calculation
Capital asset pricing model
Cash flow
Category=KCH
Category=KFF
Category=KFFM
Coefficient
Competitive equilibrium
Computation
Concave function
Conditional expectation
Conditional probability distribution
Continuous function (set theory)
Convex set
Corollary
Covariance matrix
Diagram (category theory)
Differentiable function
Dimension (vector space)
Discrete time and continuous time
Economic equilibrium
eq_bestseller
eq_business-finance-law
eq_isMigrated=1
eq_isMigrated=2
eq_nobargain
eq_non-fiction
Existential quantification
Expected value
Exponential utility
Finance
Forward contract
Forward price
Gramian matrix
Independence (probability theory)
Law of one price
Likelihood function
Linear subspace
Markov process
Martingale (probability theory)
Mathematical optimization
Monotonic function
Orthonormal basis
Parameter
Preference (economics)
Present value
Pricing
Probability
Probability measure
Probability theory
Projection (linear algebra)
Quantity
Random variable
Representative agent
Risk aversion
Risk premium
Scale invariance
Sharpe ratio
Special case
Standard deviation
Stochastic calculus
Stochastic process
Subset
Terminal value (finance)
Theorem
Theory
Trading strategy
Uncertainty
Unit of account
Utility
Variance
Wealth
Product details
- ISBN 9780691139852
- Weight: 765g
- Dimensions: 152 x 235mm
- Publication Date: 01 Mar 2009
- Publisher: Princeton University Press
- Publication City/Country: US
- Product Form: Hardback
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Asset Pricing Theory is an advanced textbook for doctoral students and researchers that offers a modern introduction to the theoretical and methodological foundations of competitive asset pricing. Costis Skiadas develops in depth the fundamentals of arbitrage pricing, mean-variance analysis, equilibrium pricing, and optimal consumption/portfolio choice in discrete settings, but with emphasis on geometric and martingale methods that facilitate an effortless transition to the more advanced continuous-time theory. Among the book's many innovations are its use of recursive utility as the benchmark representation of dynamic preferences, and an associated theory of equilibrium pricing and optimal portfolio choice that goes beyond the existing literature. Asset Pricing Theory is complete with extensive exercises at the end of every chapter and comprehensive mathematical appendixes, making this book a self-contained resource for graduate students and academic researchers, as well as mathematically sophisticated practitioners seeking a deeper understanding of concepts and methods on which practical models are built.
* Covers in depth the modern theoretical foundations of competitive asset pricing and consumption/portfolio choice * Uses recursive utility as the benchmark preference representation in dynamic settings * Sets the foundations for advanced modeling using geometric arguments and martingale methodology * Features self-contained mathematical appendixes * Includes extensive end-of-chapter exercises
Costis Skiadas is the Harold L. Stuart Professor of Finance at Northwestern University's Kellogg School of Management.
