Microfoundations of financial economics
an introduction to General Equilibrium Asset Pricing
- ISBN: 9780691113159
- Editorial: Princeton University Press
- Fecha de la edición: 2004
- Lugar de la edición: New Jersey. Estados Unidos de Norteamérica
- Colección: Princeton series in finance
- Encuadernación: Cartoné
- Medidas: 24 cm
- Nº Pág.: 287
- Idiomas: Inglés
This textbook takes the reader from the level of microeconomics principles through to modern asset pricing theory. Yvan Lengwiler elegantly links together issues that have in the past been the territory of general economic theorists on the one hand, and financial economists on the other. In a sequence of carefully explained steps, the reader learns how the first welfare theorem is used in asset pricing theory. The book then moves on to explore Radner economies and von Neumann-Morgenstern decision theory, and this section culminates in Wilson's mutuality principle and the consumption-based CAPM. This is then put into a dynamic setting, and term structure models are introduced. The empirical shortcomings of the standard asset pricing models are extensively discussed, as is research from the last twenty years aimed at bringing theory in line with reality. The reader is brought up to date on the latest areas of concern, such as habit formation, the consequences of heterogeneity, demographic effects, changing tax regimes, market frictions, and the implications of prospect theory for asset pricing ÍNDICE: 1 Introduction.1.1 What Finance theory is about.1.2 Some history of thought.1.3 The importance of the puzzles.1.4 Outline of the book.2 Contingent claim economy.2.1 The commodity space.2.2 Preferences and ordinal utility.2.3 Maximization.2.4 General equilibrium.2.5 The representative agent.3 Asset economy.3.1 Financial assets.3.2 Pricing by redundancy.3.3 Radner economies.3.4 Complete markets (and uniqueness of Arrow prices) 53.3.5 Complications arising from market incompleteness 60.4 Risky decisions.4.1 Bernoulli's St.Petersburg paradox.4.2 Using more structure: probabilities and lotteries.4.3 The von Neumann - Morgenstern representation.4.4 Measures of risk preference.4.5 Assumptions and evidence.4.6 Often used specifications.5 Staticfinance economy.5.1 An economy with von Neumann -Morgenstern agents.5.2 Efficient risk-sharing.5.3 A representative NM agent.5.4 Who hold