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Asset Pricing and Portfolio Choice Theory: Financial Management Association Survey and Synthesis Series

Autor Kerry Back
en Limba Engleză Hardback – 29 sep 2010
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.
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Specificații

ISBN-13: 9780195380613
ISBN-10: 0195380614
Pagini: 504
Ilustrații: 10 line drawings
Dimensiuni: 157 x 236 x 31 mm
Greutate: 0.82 kg
Ediția:New.
Editura: Oxford University Press
Colecția OUP USA
Seria Financial Management Association Survey and Synthesis Series

Locul publicării:New York, United States

Recenzii

Kerry Back has created a masterful introduction to asset pricing and portfolio choice. It is easy to foresee this text becoming a new standard in finance PhD courses as well as a valued reference for seasoned finance scholars everywhere. The coverage of topics is comprehensive, starting in a single-period setting and then moving naturally to dynamic models in both discrete and continuous time. The numerous challenging exercises are yet another big strength. In short, an impressive achievement.

Notă biografică

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.