資產定價講義（英文）(PDF 331頁)內容簡介
Contents
Acknowledgments 3
1 Preface 5
Part I. Asset pri cing theory 9
2 Consumptionbased
model and overv IEw 10
2.1 Basic pri cing EQuation 10
2.2 Marginal rate of subst ITution/s TOChastic discount factor 12
2.3 Prices, payoffs and notation 13
2.4 Classic issues in ?nance 15
2.5 Discount factors in continuous time 29
2.6 Problems 34
3 Applying the basic model 38
3.1 Assumptions and applica bil ITy 38
3.2 General EQuilibrium 40
3.3 Consumptionbased
model in practice 44
3.4 Alternative asset pri cing models: Overv IEw 47
4 Contingent Claims Markets 49
4.1 Contingent claims 49
4.2 Risk neutral proba bil IT IEs 50
4.3 Investors again 51
4.4 Risk sharing 53
4.5 State diagram and price function 54
5 The discount factor 58
5.1 Law of one price and existence of a discount factor 58
5.2 N OAr bitrage
and pos ITive discount factors 64
5.3 An alternative formula, and x in continuous time?? 68
4
6 Meanvariance
front IEr and beta representations 72
6.1 Expected return Beta
representations 72
6.2 Meanvariance
front IEr: Intu ITion and Lagrangian characterization 75
6.3 An orthogonal characterization of the meanvariance
front IEr 78
6.4 Spanning the meanvariance
front IEr 84
6.5 A compilation of propert IEs of U>Uh and { 84
6.6 Problems 87
7 Relation between discount factors, betas, and meanvariance
front IErs 88
7.1 From discount factors to beta representations 88
7.2 From meanvariance
front IEr to a discount factor and beta representation 92
7.3 Factor models and discount factors 95
7.4 Discount factors and beta models to mean variance
front IEr 99
7.5 T HRee riskfree rate analogues 100
7.6 Meanvariance
spe cial cases w ITh no riskfree rate 105
7.7 Problems 109
8 Implications of existence and EQuivalence theorems 110
9 Cond ITioning information 118
9.1 Scaled payoffs 119
9.2 Suf? ciency of adding scaled returns 121
9.3 Conditional and uncond ITional models 123
9.4 Scaled factors: a partial solution 130
9.5 Summary 132
10 Factor pri cing models 133
10.1 Cap ITal Asset Pri cing Model (CAPM) 135
10.2 Intertemporal Cap ITal Asset Pri cing Model (ICAPM) 146
10.3 Comments on the CAPM and ICAPM 148
10.4 Ar bitrage Pri cing Theory (APT) 151
10.5 APT vs. ICAPM 160
10.6 Problems 161
5
Part II. Estimating and evaluating asset pri cing models 162
11 GMM in expli cit discount factor models 165
11.1 The Re cipe 165
11.2 Int ERPreting the GMM procedure 168
11.3 Applying GMM 172
12 GMM: general formulas and applications 176
12.1 General GMM formulas 176
12.2 Testing moments 180
12.3 Standard errors of anything by delta method 181
12.4 Using GMM for regressions 182
12.5 Prespe ci?ed weighting matrices and moment cond ITions 184
12.6 Estimating on one group of moments, testing on another. 193
12.7 Estimating the spectral dens ITy matrix 193
12.8 Problems 200
13 Regressionbased
tests of linear factor models 202
13.1 Timeser IEs
regressions 202
13.2 Crosssectional
regressions 207
13.3 FamaMacBeth
Procedure 216
13.4 Problems 222
14 GMM for linear factor models in discount factor form 223
14.1 GMM on the pri cing errors gives a crosssectional
regression 223
14.2 The case of excess returns 225
14.3 Horse Races 227
14.4 Testing for characteristics 228
14.5 Testing for priced factors: lambdas or b’s? 229
14.6 Problems 233
15 Maximum likelihood 235
15.1 Maximum likelihood 235
6
15.2 ML is GMM on the scores 237
15.3 When factors are returns, ML prescribes a timeser IEs
regression. 239
15.4 When factors are not excess returns, ML prescribes a crosssectional
regression 243
15.5 Problems 244
16 Timeser IEs
vs. cross section ML vs. GMM 246
16.1 Time ser IEs vs. crosssection
246
16.2 ML vs. GMM 250
Part III. Bonds and options 261
17 Option pri cing 263
17.1 Background 263
17.2 BlackScholes
formula 270
17.3 Problems 276
18 Option pri cing w IThout perfect replication 277
18.1 On the edges of ar bitrage 277
18.2 Oneperiod
good deal bounds 278
18.3 Multiple periods and continuous time 285
18.4 Extensions, other appr OAches, and bibliography 294
19 Term structure of interest rates 296
19.1 De?n ITions and notation 296
19.2 Y IEld curve and expectations hypothesis 300
19.3 Term structure models – a discretetime
introduction 303
19.4 Continuous time term structure models 307
19.5 T HRee famous linear term structure models 312
19.6 bibliography 323
19.7 Problems 325
Part IV. A br IEf empirical survey 326
..............................
Acknowledgments 3
1 Preface 5
Part I. Asset pri cing theory 9
2 Consumptionbased
model and overv IEw 10
2.1 Basic pri cing EQuation 10
2.2 Marginal rate of subst ITution/s TOChastic discount factor 12
2.3 Prices, payoffs and notation 13
2.4 Classic issues in ?nance 15
2.5 Discount factors in continuous time 29
2.6 Problems 34
3 Applying the basic model 38
3.1 Assumptions and applica bil ITy 38
3.2 General EQuilibrium 40
3.3 Consumptionbased
model in practice 44
3.4 Alternative asset pri cing models: Overv IEw 47
4 Contingent Claims Markets 49
4.1 Contingent claims 49
4.2 Risk neutral proba bil IT IEs 50
4.3 Investors again 51
4.4 Risk sharing 53
4.5 State diagram and price function 54
5 The discount factor 58
5.1 Law of one price and existence of a discount factor 58
5.2 N OAr bitrage
and pos ITive discount factors 64
5.3 An alternative formula, and x in continuous time?? 68
4
6 Meanvariance
front IEr and beta representations 72
6.1 Expected return Beta
representations 72
6.2 Meanvariance
front IEr: Intu ITion and Lagrangian characterization 75
6.3 An orthogonal characterization of the meanvariance
front IEr 78
6.4 Spanning the meanvariance
front IEr 84
6.5 A compilation of propert IEs of U>Uh and { 84
6.6 Problems 87
7 Relation between discount factors, betas, and meanvariance
front IErs 88
7.1 From discount factors to beta representations 88
7.2 From meanvariance
front IEr to a discount factor and beta representation 92
7.3 Factor models and discount factors 95
7.4 Discount factors and beta models to mean variance
front IEr 99
7.5 T HRee riskfree rate analogues 100
7.6 Meanvariance
spe cial cases w ITh no riskfree rate 105
7.7 Problems 109
8 Implications of existence and EQuivalence theorems 110
9 Cond ITioning information 118
9.1 Scaled payoffs 119
9.2 Suf? ciency of adding scaled returns 121
9.3 Conditional and uncond ITional models 123
9.4 Scaled factors: a partial solution 130
9.5 Summary 132
10 Factor pri cing models 133
10.1 Cap ITal Asset Pri cing Model (CAPM) 135
10.2 Intertemporal Cap ITal Asset Pri cing Model (ICAPM) 146
10.3 Comments on the CAPM and ICAPM 148
10.4 Ar bitrage Pri cing Theory (APT) 151
10.5 APT vs. ICAPM 160
10.6 Problems 161
5
Part II. Estimating and evaluating asset pri cing models 162
11 GMM in expli cit discount factor models 165
11.1 The Re cipe 165
11.2 Int ERPreting the GMM procedure 168
11.3 Applying GMM 172
12 GMM: general formulas and applications 176
12.1 General GMM formulas 176
12.2 Testing moments 180
12.3 Standard errors of anything by delta method 181
12.4 Using GMM for regressions 182
12.5 Prespe ci?ed weighting matrices and moment cond ITions 184
12.6 Estimating on one group of moments, testing on another. 193
12.7 Estimating the spectral dens ITy matrix 193
12.8 Problems 200
13 Regressionbased
tests of linear factor models 202
13.1 Timeser IEs
regressions 202
13.2 Crosssectional
regressions 207
13.3 FamaMacBeth
Procedure 216
13.4 Problems 222
14 GMM for linear factor models in discount factor form 223
14.1 GMM on the pri cing errors gives a crosssectional
regression 223
14.2 The case of excess returns 225
14.3 Horse Races 227
14.4 Testing for characteristics 228
14.5 Testing for priced factors: lambdas or b’s? 229
14.6 Problems 233
15 Maximum likelihood 235
15.1 Maximum likelihood 235
6
15.2 ML is GMM on the scores 237
15.3 When factors are returns, ML prescribes a timeser IEs
regression. 239
15.4 When factors are not excess returns, ML prescribes a crosssectional
regression 243
15.5 Problems 244
16 Timeser IEs
vs. cross section ML vs. GMM 246
16.1 Time ser IEs vs. crosssection
246
16.2 ML vs. GMM 250
Part III. Bonds and options 261
17 Option pri cing 263
17.1 Background 263
17.2 BlackScholes
formula 270
17.3 Problems 276
18 Option pri cing w IThout perfect replication 277
18.1 On the edges of ar bitrage 277
18.2 Oneperiod
good deal bounds 278
18.3 Multiple periods and continuous time 285
18.4 Extensions, other appr OAches, and bibliography 294
19 Term structure of interest rates 296
19.1 De?n ITions and notation 296
19.2 Y IEld curve and expectations hypothesis 300
19.3 Term structure models – a discretetime
introduction 303
19.4 Continuous time term structure models 307
19.5 T HRee famous linear term structure models 312
19.6 bibliography 323
19.7 Problems 325
Part IV. A br IEf empirical survey 326
..............................
資產定價講義（英文）(PDF 331頁)簡介結束