Theory of Financial Decision Making
Author | : Jonathan E. Ingersoll |
Publisher | : Rowman & Littlefield |
Total Pages | : 506 |
Release | : 1987 |
ISBN-10 | : 0847673596 |
ISBN-13 | : 9780847673599 |
Rating | : 4/5 (96 Downloads) |
Book excerpt: Based on courses developed by the author over several years, this book provides access to a broad area of research that is not available in separate articles or books of readings. Topics covered include the meaning and measurement of risk, general single-period portfolio problems, mean-variance analysis and the Capital Asset Pricing Model, the Arbitrage Pricing Theory, complete markets, multiperiod portfolio problems and the Intertemporal Capital Asset Pricing Model, the Black-Scholes option pricing model and contingent claims analysis, 'risk-neutral' pricing with Martingales, Modigliani-Miller and the capital structure of the firm, interest rates and the term structure, and others.