Автор: Tapiero Charles Название: Risk Finance and Asset Pricing ISBN: 0470549467 ISBN-13(EAN): 9780470549469 Издательство: Wiley Рейтинг: Цена: 10868 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: * With an eye toward the future, he has crafted a comprehensive and practical book that emphasizes an intuitive approach to the financial and quantitative foundations of financial and risk engineering and its many applications to asset pricing and risk management.
Автор: Levy Название: The Capital Asset Pricing Model in the 21st Century ISBN: 1107006716 ISBN-13(EAN): 9781107006713 Издательство: Cambridge Academ Рейтинг: Цена: 11274 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: The Capital Asset Pricing Model (CAPM) and the mean-variance (M-V) rule, which are based on classic expected utility theory, have been heavily criticized theoretically and empirically. The advent of behavioral economics, prospect theory and other psychology-minded approaches in finance challenges the rational investor model from which CAPM and M-V derive. Haim Levy argues that the tension between the classic financial models and behavioral economics approaches is more apparent than real. This book aims to relax the tension between the two paradigms. Specifically, Professor Levy shows that although behavioral economics contradicts aspects of expected utility theory, CAPM and M-V are intact in both expected utility theory and cumulative prospect theory frameworks. There is furthermore no evidence to reject CAPM empirically when ex-ante parameters are employed. Professionals may thus comfortably teach and use CAPM and behavioral economics or cumulative prospect theory as coexisting paradigms.
Автор: Renneboog Название: Advances In Corporate Finance & Asset Pricing ISBN: 0444527230 ISBN-13(EAN): 9780444527233 Издательство: Elsevier Science Рейтинг: Цена: 9609 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: Incorporates estimation risk in portfolio choice and also covers a risk measure for retail investment products, understanding and exploiting momentum in stock returns. This book includes: Introduction - Corporate restructuring; mergers and acquisitions in Europe; and the performance of acquisitive companies in the US.
Автор: Poon, Ser-Huang Название: Asset Pricing in Discrete Time ISBN: 0199271445 ISBN-13(EAN): 9780199271443 Издательство: Oxford Academ Рейтинг: Цена: 8677 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: This book covers the pricing of assets, derivatives, and bonds in a discrete time, complete markets framework. It relies heavily on the existence, in a complete market, of a pricing kernel. It is primarily aimed at advanced Masters and PhD students in finance. Topics covered include CAPM, non-marketable background risks, European style contingent claims as in Black-Scholes and in cases where risk neutral valuation relationship does not exist, multi-period asset pricing under rational expectations, forward and futures contracts on assets and derivatives, and bond pricing under stochastic interest rates. All the proofs, including a discrete time proof of the Libor market model, are shown explicitly.
Автор: Milne, Frank (Bank of Montreal Professor of Econom Название: Finance Theory and Asset Pricing ISBN: 0199261067 ISBN-13(EAN): 9780199261062 Издательство: Oxford Academ Рейтинг: Цена: 5348 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: A concise guide to asset pricing, this text assumes a knowledge of graduate level microeconomics. It explores the fundamental ideas underlying competitive financial asset pricing models with synthetic information.
Автор: Wang Shouyang, Xia Yusen Название: Portfolio Selection and Asset Pricing ISBN: 3540429158 ISBN-13(EAN): 9783540429159 Издательство: Springer Рейтинг: Цена: 8359 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: This monograph consists of two parts. One part is portfolio selection theory and the other part is capital asset pricing theory. For each part, a comprehensive review of the original theory, efforts to improve the theory afterwards and future works to be done are presented. Some innovative models and empirical research works are given in subsequent chapters following the review. For example, a model for portfolio selection with order of expected returns is presented in Chapter 2, the model addresses the inaccuracy in the estimation the expected returns of securities by putting the expected returns of securities as variables rather than known constant. Readers will see some new results which are very practical and interesting.
Автор: Levy Название: The Capital Asset Pricing Model in the 21st Century ISBN: 052118651X ISBN-13(EAN): 9780521186513 Издательство: Cambridge Academ Рейтинг: Цена: 3450 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: The Capital Asset Pricing Model (CAPM) and the mean-variance (M-V) rule, which are based on classic expected utility theory, have been heavily criticized theoretically and empirically. The advent of behavioral economics, prospect theory and other psychology-minded approaches in finance challenges the rational investor model from which CAPM and M-V derive. Haim Levy argues that the tension between the classic financial models and behavioral economics approaches is more apparent than real. This book aims to relax the tension between the two paradigms. Specifically, Professor Levy shows that although behavioral economics contradicts aspects of expected utility theory, CAPM and M-V are intact in both expected utility theory and cumulative prospect theory frameworks. There is furthermore no evidence to reject CAPM empirically when ex-ante parameters are employed. Professionals may thus comfortably teach and use CAPM and behavioral economics or cumulative prospect theory as coexisting paradigms.
Автор: Duffie, Darrell Название: Dynamic asset pricing theory ISBN: 069109022X ISBN-13(EAN): 9780691090221 Издательство: Wiley Рейтинг: Цена: 7508 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: Suitable for doctoral students and researchers, this book talks about the theory of asset pricing and portfolio selection in multiperiod settings under uncertainty. The asset pricing results are based on the three restrictive assumptions: absence of arbitrage, single-agent optimality, and equilibrium.
Автор: Kellerhals B.Philipp Название: Asset Pricing / Modeling and Estimation ISBN: 3540208534 ISBN-13(EAN): 9783540208532 Издательство: Springer Рейтинг: Цена: 17764 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: Asset Pricing Framework: Financial Modeling.- Estimation Principles.- Pricing Equities: Introduction and Survey.- Valuation Model.- First Empirical Results.- Implications for Investment Strategies.- Summary and Conclusions.- Pricing Fixed-Income Securities: Introduction and Survey.- Term Structure Model.- Initial Characteristic Results.- Risk Management and Derivates Pricing.- Calibration to Standard Instruments.- Summary and Conclusions.- Pricing Electricity Forwards: Introduction and Survey.- Electricity Pricing Model.- Empirical Inference.- Summary and Conclusions.- List of Symbols and Notation.- List of Tables.- List of Figures.- References.- Index.
Описание: During the 1980s and 1990s, theoretical research in financial economics significantly advanced our understanding of the informational aspects of price processes. This book provides a detailed and up-to-date survey of this important body of literature.
Автор: Mattarocci Gianluca Название: Asset Pricing, Real Estate and Public Finance Over the Crisi ISBN: 1137293764 ISBN-13(EAN): 9781137293763 Издательство: Springer Рейтинг: Цена: 9404 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: The current financial crisis started from the US real estate market and after, though the increase of risk premium requested by investors and due to the lack of liquidity of all financial markets, it became a world financial crisis. A detailed analysis during the crisis focuses attention on asset management, the real estate and public sector.
Автор: Back, Kerry E. Название: Asset Pricing and Portfolio Choice Theory ISBN: 0190241144 ISBN-13(EAN): 9780190241148 Издательство: Oxford Academ Рейтинг: Цена: 8628 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: This book is a textbook at the Ph.D. or Masters in Quantitative Finance level. It covers single-period, discrete-time, and continuous-time financial models. It provides introductions to many current research topics, and each chapter contains exercises.
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