Intertemporal Asset Pricing Theory
نویسنده
چکیده
2 Basic Theory 4 2.1 Setup . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4 2.2 Arbitrage, State Prices, and Martingales . . . . . . . . . . . . 5 2.3 Individual Agent Optimality . . . . . . . . . . . . . . . . . . . 8 2.4 Habit and Recursive Utilities . . . . . . . . . . . . . . . . . . . 9 2.5 Equilibrium and Pareto Optimality . . . . . . . . . . . . . . . 12 2.6 Equilibrium Asset Pricing . . . . . . . . . . . . . . . . . . . . 14 2.7 Breeden’s Consumption-Based CAPM . . . . . . . . . . . . . 16 2.8 Arbitrage and Martingale Measures . . . . . . . . . . . . . . . 17 2.9 Valuation of Redundant Securities . . . . . . . . . . . . . . . . 19 2.10 American Exercise Policies and Valuation . . . . . . . . . . . . 21
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