Asset pricing / John H. Cochrane.
By: Cochrane, John H., (John Howland)
Language: İngilizce Publisher: Princeton, N.J. : Princeton University Press, 2005Edition: Rev. edDescription: xvii, 533 p. : ill. ; 24 cmISBN: 0691121370 (cl : alk. paper)Subject(s): Sermaye aktifleri fiyatlama modeli | Capital assets pricing model | Securities | Menkul değerlerLOC classification: HG4636 | .C56 2005Online resources: Publisher description | Item type | Current location | Home library | Collection | Call number | Vol info | Copy number | Status | Date due | Barcode |
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Merkez Kütüphane Genel Koleksiyon / Main Collection | Merkez Kütüphane | Genel Koleksiyon | HG4636 .C56 2005 (Browse shelf) | 1 | 1 | Available | 0014597 |
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Consumption-based model and overview -- Applying the basic model -- Contingent claims markets -- The discount factor -- Mean-variance frontier and beta representations -- Relation between discount factors, betas, and mean-variance frontiers -- Implications of existence and equivalence theorems -- Conditioning information -- Factor pricing models -- GMM in explicit discount factor models -- GMM : general formulas and applications -- Regression-based tests of linear factor models -- GMM for linear factor models in discount factor form -- Maximum likelihood -- Time-series, cross-section, and GMM/DF tests of linear factor models -- Which method? -- Option pricing -- Option pricing without perfect replication -- Term structure of interest rates -- Expected returns in the time series and cross section -- Equity premium puzzle and consumption-based models -- Appendix: -- A.1 Brownian motion -- A.2 Diffusion model -- A.3 Ito's Lemma
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