This book is ab out the optimal portfolio choice behavior of rational in vestors and the pricing of. Asset pricing and portfolio choice theory in searchworks. An overview of asset pricing models andreas krause university of bath school of management phone. Asset pricing and portfolio choice theory econpapers. Asset pricing and portfolio choice theory by kerry back i have the book. Asset pricing and portfolio choice theory kerry back oxford. Utility and risk aversion utility and risk aversion chapter. 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. Asset pricing and portfolio choice theory book, 2010. Back at last offers what is at once a welcoming introduction to and a comprehensive overview of asset pricing. Useful as a textbook for graduate students in finance, with extensive exercises and a solutions manual available for professors, the book will also serve as an essential reference for scholars and professionals, as it includes detailed proofs and calculations as section appendices. A theory of how much of an asset people want to hold in their portfolio, with the amounts determined by wealth, expected returns, risk, and liquidity. Can anyone comment on asset pricing and portfolio choice. Sep 10, 2010 in asset pricing and portfolio choice theory, kerry e.

Capital assets pricing model, portfolio management. Buy asset pricing and portfolio choice theory financial management association survey and synthesis by back, kerry isbn. Topics include functions of capital markets and financial intermediaries, asset valuation, fixedincome securities, common stocks, capital budgeting, diversification and portfolio selection, equilibrium pricing of risky assets, the theory of efficient markets, and an introduction to. Sell asset pricing and portfolio choice theory financial management association survey and synthesis series isbn 9780190241148 ship for free. Financial management association survey and synthesis ser. In asset pricing and portfolio choice theory kerry back has given us a comprehensive, rigorous, and at the same time elegant and selfcontained treatment of the important developments in this vast literature, it will be useful to graduate students and advanced undergraduate students in economics, finance, financial engineering, and management science as well as interested practitioners. In financial decisions and markets, john campbell, one of the fields most respected authorities, provides a broad graduatelevel overview of asset pricing. The chapter discusses how representativeness is first tested in the economics literature and how it can be introduced into a simple equilibrium model. The first two parts of the book explain portfolio choice and asset pricing theory in singleperiod, discretetime, and continuoustime models. Modern portfolio theory mpt, or meanvariance analysis, is a mathematical framework for assembling a portfolio of assets such that the expected return is maximized for a given level of risk. It is a formalization and extension of diversification in investing, the idea that owning different kinds of financial assets is less risky than owning.

Back, 9780190241148, available at book depository with free delivery worldwide. Asset pricing and portfolio choice theory financial management association survey and synthesis series 9780190241148. Asset pricing and portfolio choice theory biggerbooks. Download asset pricing and portfolio choice theory. Description theory of asset pricing unifies the central tenets and techniques of asset valuation into a single, comprehensive resource that is ideal for the first phd course in asset pricing. Lintner 1965 marks the birth of asset pricing theory resulting in a nobel prize for sharpe in 1990. I have both and i have studied backs version quite extensively. From the fields leading authority, the most authoritative and comprehensive advancedlevel textbook on asset pricing. He introduces students to leading theories of portfolio choice, their implications for asset prices, and empirical patterns of risk and return in financial markets. Targeting readers with backgrounds in economics, intermediate financial theory, third edition includes new material on the asset pricing implications of behavioral finance perspectives, recent developments in portfolio choice, derivativesrisk neutral pricing research, and implications of the 2008 financial crisis. Asset pricing and portfolio choice theory financial.

In investors and markets, nobel prizewinning financial economist william sharpe shows that investment professionals cannot make good portfolio choices unless they understand the determinants of asset prices. It covers the classical results on singleperiod, discretetime, and continuoustime models. Currently, he teaches introductory and advanced asset pricing theory to phd students in the jones school and in the department of economics. If t is the same for everybody all investors agree on what are. It will be useful to graduate students and advanced undergraduate students in economics, finance, financial engineering, and management. This book is intended as a textbook for asset pricing theory courses at the ph. Pdf asset pricing and portfolio choice theory financial. Asset pricing and portfolio choice theory in searchworks catalog. If youre looking for a free download links of asset pricing and portfolio choice theory financial management association survey and synthesis pdf, epub, docx and torrent then this site is not for you.

Modern portfolio theory explained in 4 minutes youtube. Open library is an open, editable library catalog, building towards a web page for every book ever published. Errata asset pricing and portfolio choice theory second edition kerry back june 5, 2019. With the errata sheet and your hand made corrections, it is an excellent book. In this book, sharpe changes that by setting out his stateoftheart. Oxford university press usa publishes scholarly works in all academic disciplines, bibles, music, childrens books, business books, dictionaries, reference books, journals, text books and more.

Notes and references 175 part two dynamic models 8. Asset pricing and portfolio choice theory financial management association survey and synthesis 97801953806. Costis skiadas develops in depth the fundamentals of arbitrage pricing, meanvariance analysis, equilibrium pricing, and optimal consumptionportfolio choice in discrete settings, but with emphasis. But until now assetprice analysis has largely been inaccessible to everyone except phds in financial economics. In asset pricing and portfolio choice theory, kerry e. Useful as a textbook for graduate students in finance, with extensive exercises and a solutions manual available for professors, the book will also serve as an essential reference.

Errata asset pricing and portfolio choice theory second. Aug 12, 2010 asset pricing and portfolio choice theory ebook written by kerry back. For valuation, the focus throughout is on stochastic discount factors and their properties. Asset pricing and excess returns over the market return, working papers 201712, university of miami, department of economics. Asset pricing and portfolio choice theory edition 1 by. Asset pricing and portfolio choice theory second edition. Intended as a textbook for asset pricing theory courses at the ph. Four decades later, the capm is still widely used in applications, such as estimating the cost of capital for. The name stochastic discount factor reflects the fact that the price of an asset can be computed by discounting the future cash flow by the stochastic factor and then taking the expectation. The introduction to financial markets and the real economy is an updated survey of macro asset pricing work.

In asset pricing and portfolio choice theory kerry back has given us a comprehensive, rigorous and at the same time elegant and selfcontained treatment of the important developments in this vast literature. Cochrane covers asset pricing theory in part i of his book chap 19, empirical asset pricing in part ii chap 1016, bonds and options in part iii chap 1719 and finishes with an empirical survey in part iv chap 2021. The first two parts of the book explain portfolio choice and asset pricing theory in single. So in short, this is a great, clear, readable, and understandable finance phd level treatment of asset pricing that is a good choice for a variety of courses on continuous time asset pricing and financial economics. Back offers a concise yet comprehensive introduction to and overview of asset pricing. Asset pricing and portfolio choice theory, 2 edition download. Asset pricing and portfolio choice theory kerry back. This chapter presents a behavioral approach to asset pricing theory. Stanford libraries official online search tool for books, media, journals, databases, government documents and more. Asset pricing and portfolio choice theory oxford university. K back in asset pricing and portfolio choice theory, kerry e. Heat kernel framework for asset pricing in finite time, papers 1211.

Access is conditional on providing detailed course information. Kerry back asset pricing solutions manual economics. Jan 01, 2010 in asset pricing and portfolio choice theory, kerry e. Everyday low prices and free delivery on eligible orders. Asset pricing and portfolio choice theory by k back alibris. Modern portfolio theory mpt is a theory on how riskaverse investors can construct portfolios to optimize or maximize expected return based on a given level of market risk, emphasizing that risk. A the degree of diversification b the systematic risk of the portfolio c the firm specific risk of the portfolio d economic factors. Asset pricing and portfolio choice theory oxford scholarship. Study 29 terms money and banking flashcards quizlet. Discount rates journal of finance is my latest attempt to synthesize asset pricing and suggest where we should go. It is written at an introductory level but includes detailed proofs and calculations as section appendices.

Back, 2010, oxford university press edition, in english. By striking a balance between fundamental theories and cuttingedge research, pennacchi offers the reader a wellrounded introduction to modern asset pricing theory that does not require a high level of. So, the equation that is given in the exercise should be w h. It covers singleperiod, discretetime, and continuoustime financial models. The investors problem is to choose the best portfolio p.

Asset pricing and portfolio choice theory 2010 edition. Feb 15, 2016 pdf download asset pricing and portfolio choice theory financial management association survey and download online. Asset pricing and portfolio choice theory, financial management association survey and synthesis series, 1st edition, kerry back kerry back has created a masterful introduction to asset pricing and portfolio choice. Asset pricing and portfolio choice theory book, 2017. The asset prices we discuss would include prices of bonds and stocks, interest rates, exchange rates, and derivatives of all these underlying. Asset pricing and portfolio choice theory ebook written by kerry back.

The book includes numerous exercises designed to provide practice with the concepts and also to introduce additional results. Buy asset pricing and portfolio choice theory by k back online at alibris. Traditional factor models, including the capm, are related to or derived from stochastic discount factors. Introduction to asset pricing theory the theory of asset pricing is concerned with explaining and determining prices of. Jan 17, 2017 exercises and a solutions manual available for professors, the book is also an essential reference for financial researchers and professionals, as it includes detailed proofs and calculations as section appendices. This is an intermediate course on asset pricing, portfolio choice and investment theory.

Useful as a textbook for graduate students in finance, with extensive exercises and a solutions manual available for professors, the book will also serve as an essential reference for scholars and professionals, as it includes. So, the equation that is given in the exercise should be. Asset pricing and portfolio choice theory in searchworks catalog skip to search skip to main content. It is a formalization and extension of diversification in investing, the idea that owning different kinds of financial assets is less risky than owning only one type. Asset pricing and portfolio choice theory open library. This definition is of fundamental importance in asset pricing. In the 2nd edition of asset pricing and portfolio choice theory, kerry e. Feb 01, 2017 in the 2nd edition of asset pricing and portfolio choice theory, kerry e.

Key psychological studies of representativeness, focusing on the intuition that underlies the main ideas, are also presented. Sep 10, 2010 asset pricing and portfolio choice theory by kerry back, 97801953806, available at book depository with free delivery worldwide. Pdf asset pricing and portfolio choice theory semantic scholar. It also treats various proposed explanations for the equity premium and riskfree rate. Asset pricing and portfolio choice theory ebook, 2010 worldcat. If you are an instructor of a course based on this. For valuation, the focus throughout is on stochastic discount factors and. Portfolio theory is a draft of a chapter on portfolio theory for the next edition.

I should also disclose that kerry back wrote my phd application letter and i took the ap course with him at rice. Asset pricing and portfolio choice theory, financial. Asset pricing and portfolio choice theory by kerry e. A behavioral approach to asset pricing sciencedirect. Asset pricing and portfolio choice theory by kerry back. Buy asset pricing and portfolio choice theory financial management association survey and synthesis series 2 by back, kerry e. The theory that the quantity demanded of an asset is 1 usually positively related to wealth, 2 positively related to its expected return. Asset pricing and portfolio choice theory by back, kerry ebook. The stochastic discount factor sdf is a concept in financial economics and mathematical finance. Asset pricing and portfolio choice theory ebook, 2010. Useful as a textbook for graduate students in finance, with extensive exercises and a solutions manual available for professors, the book will also serve as an essential reference for scholars and professional.

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