9780135006535

Foundations for Financial Economics

Chi-Fu Huang; Robert H. Litzenberger

ISBN 10: 0135006538 / 0-13-500653-8
ISBN 13: 9780135006535
Publisher: Prentice Hall
Publication Date: 1988
Binding: Hardcover
Editorial Reviews:
Synopsis:

Based on formal derivations of financial theory, this volume provides a rigorous exploration of individual's consumption and portfolio decisions under uncertainty. Features in-depth coverage of such topics as: concepts of risk aversion and stochastic dominance; mathematical properties of a portfolio frontier; distributional conditions for mutual fund separation; capital asset pricing models and arbitrage pricing models; general pricing rules for securities that pay off in more than one state of nature; the pricing of options; rational expectation models of risky asset prices; signaling models; how multiperiod dynamic economies can be modeled; a multiperiod economy with emphasis on valuation by arbitrage; econometric issues associated with testing capital asset pricing models. For readers interested in a rigorous overview of financial economicsn individual consumption point of view. © 1988