0 Read eBook for: portfolio selection and asset pricing under variable time preference [PDF]

Portfolio Selection And Asset Pricing Under Variable Time Preference

Portfolio Selection and Asset Pricing Under Variable Time Preference PDF

Get This Book

Author: Chang Mo Ahn
Publisher:
ISBN:
Size: 30.97 MB
Format: PDF, Kindle
Category : Stocks
Languages : en
Pages : 422
View: 2852



Dissertation Abstracts International

Dissertation Abstracts International PDF

Get This Book

Author:
Publisher:
ISBN:
Size: 38.23 MB
Format: PDF, Kindle
Category : Dissertations, Academic
Languages : en
Pages :
View: 5058



American Doctoral Dissertations

American Doctoral Dissertations PDF

Get This Book

Author:
Publisher:
ISBN:
Size: 26.25 MB
Format: PDF, Docs
Category : Dissertation abstracts
Languages : en
Pages :
View: 2350



Comprehensive Dissertation Index

Comprehensive Dissertation Index PDF

Get This Book

Author:
Publisher:
ISBN:
Size: 20.54 MB
Format: PDF, Mobi
Category : Dissertations, Academic
Languages : en
Pages :
View: 5436



Exchange Rate Theory And Practice

Exchange Rate Theory and Practice PDF

Get This Book

Author: John F. Bilson
Publisher: University of Chicago Press
ISBN: 9780226050997
Size: 24.87 MB
Format: PDF, Mobi
Category : Business & Economics
Languages : en
Pages : 538
View: 7462


This volume grew out of a National Bureau of Economic Research conference on exchange rates held in Bellagio, Italy, in 1982. In it, the world's most respected international monetary economists discuss three significant new views on the economics of exchange rates - Rudiger Dornbusch's overshooting model, Jacob Frenkel's and Michael Mussa's asset market variants, and Pentti Kouri's current account/portfolio approach. Their papers test these views with evidence from empirical studies and analyze a number of exchange rate policies in use today, including those of the European Monetary System.

Dynamic Asset Pricing Theory

Dynamic Asset Pricing Theory PDF

Get This Book

Author: Darrell Duffie
Publisher: Princeton University Press
ISBN: 1400829208
Size: 13.13 MB
Format: PDF, Kindle
Category : Business & Economics
Languages : en
Pages : 488
View: 6156


This is a thoroughly updated edition of Dynamic Asset Pricing Theory, the standard text for doctoral students and researchers on the theory of asset pricing and portfolio selection in multiperiod settings under uncertainty. The asset pricing results are based on the three increasingly restrictive assumptions: absence of arbitrage, single-agent optimality, and equilibrium. These results are unified with two key concepts, state prices and martingales. Technicalities are given relatively little emphasis, so as to draw connections between these concepts and to make plain the similarities between discrete and continuous-time models. Readers will be particularly intrigued by this latest edition's most significant new feature: a chapter on corporate securities that offers alternative approaches to the valuation of corporate debt. Also, while much of the continuous-time portion of the theory is based on Brownian motion, this third edition introduces jumps--for example, those associated with Poisson arrivals--in order to accommodate surprise events such as bond defaults. Applications include term-structure models, derivative valuation, and hedging methods. Numerical methods covered include Monte Carlo simulation and finite-difference solutions for partial differential equations. Each chapter provides extensive problem exercises and notes to the literature. A system of appendixes reviews the necessary mathematical concepts. And references have been updated throughout. With this new edition, Dynamic Asset Pricing Theory remains at the head of the field.

Capital Markets And Finance Bibliography

Capital Markets and Finance Bibliography PDF

Get This Book

Author:
Publisher:
ISBN:
Size: 79.61 MB
Format: PDF, ePub
Category : Finance
Languages : en
Pages : 304
View: 5112



The Value Of Time Preferences And The Behavior Of Liquidity Costs In The New York Stock Exchange

The Value of Time Preferences and the Behavior of Liquidity Costs in the New York Stock Exchange PDF

Get This Book

Author: Seha M. Tiniç
Publisher:
ISBN:
Size: 73.94 MB
Format: PDF, ePub
Category :
Languages : en
Pages : 406
View: 2298



Financial Modeling

Financial Modeling PDF

Get This Book

Author: Hercules Vladimirou
Publisher:
ISBN:
Size: 21.16 MB
Format: PDF, ePub, Mobi
Category : Finance
Languages : en
Pages : 336
View: 1748



Mathematical Reviews

Mathematical Reviews PDF

Get This Book

Author:
Publisher:
ISBN:
Size: 11.75 MB
Format: PDF
Category : Mathematics
Languages : en
Pages :
View: 5532



Statistics And Finance

Statistics and Finance PDF

Get This Book

Author: Wai-Sum Chan
Publisher: World Scientific
ISBN: 1783261668
Size: 48.68 MB
Format: PDF, ePub, Docs
Category : Mathematics
Languages : en
Pages : 396
View: 1073


Contents:Heavy-Tailed and Nonlinear Continuous-Time ARMA Models for Financial Time Series (P J Brockwell)Nonlinear State Space Model Approach to Financial Time Series with Time-Varying Variance (G Kitagawa & S Sato)Nonparametric Estimation and Bootstrap for Financial Time Series (J-P Kreiβ)A Note on Kernel Estimation in Integrated Time Series (Y-C Xia et al.)Stylized Facts on the Temporal and Distributional Properties of Absolute Returns: An Update (C W J Granger et al.)Volatility Computed by Time Series Operators at High Frequency (U A Müller)Missing Values in ARFIMA Models (W Palma)Second Order Tail Effects (C G de Vries)Bayesian Estimation of Stochastic Volatility Model via Scale Mixtures Distributions (S T B Choy & C M Chan)On a Smooth Transition Double Threshold Model (Y N Lee & W K Li)Interval Prediction of Financial Time Series (B Cheng & H Tong)A Decision Theoretic Approach to Forecast Evaluation (C W J Granger & M H Pesaran)Portfolio Management and Market Risk Quantification Using Neural Networks (J Franke)Detecting Structural Changes Using Genetic Programming with an Application to the Greater-China Stock Markets (X B Zhang et al.)and other papers Readership: Researchers in finance, time series analysis, economics and actuarial science, as well as investment bankers, stock market analysts and risk managers. Keywords:Proceedings;Workshop;Statistics;Finance;Hongkong (China)

Back to Top