Review Asset Pricing and Portfolio Choice Theory
by KERRY E. BACK
Description
Kerry Back’s second edition of Asset Pricing and Portfolio Choice Theory gives us a comprehensive approach to asset pricing. Students conducting financial studies and researches, as well as professionals conducting studies, use this book as their major reference as it presents concepts and calculations in full detail.
In this second edition, notes and references are included in each chapter to point to the literature used in the text. Exercises are also provided in each chapter. As asset pricing and portfolio choice are technical subjects, this book is a good resource material for finance studies. Back’s a salient introduction to asset pricing makes this book a good choice when dealing with the topic.
About the Author
Serving as a professor of finance at Rice University’s Jones Graduate School of Business is the author Kerry Back. He made several distinctions as a professor in the universities he taught. He also served as an editor of the Review of Financial Studies, Finance & Stochastics, and Journal of Finance.
Table of Contents
The book contains the following topics:
Part One: Single Period-Models
- Utility and Risk Aversion
- Portfolio Choice
- Stochastic Discount Factors
- Equilibrium and Efficiency
- Mean-Variance Analysis
- Factor Models
- Representative Investors
Part Two: Dynamic Models
- Dynamic Securities Markets
- Dynamic Portfolio Choice
- Dynamic Asset Pricing
- Explaining Puzzles
- Brownian Motion and Stochastic Calculus
- Continuous-Time Markets
- Continuous-Time Portfolio Choice and Pricing
- Continuous-Time Topics
Part Three: Derivative Securities
- Option Pricing
- Forwards, Futures, and More Option Pricing
- Term Structure Models
- Perpetual Options and the Leland Model
- Real Options and q Theory
Part Four: Beliefs, Information, and Preferences
- Heterogeneous Beliefs
- Rational Expectations Equilibria
- Learning
- Information, Strategic Trading, and Liquidity
- Alternative Preferences
