DYNAMIC PORTFOLIO CHOICE AND ASSET PRICING WITH HETEROGENEOUS INFORMATION : COMPLETELY RANKED INFORMATION SETS
Title | DYNAMIC PORTFOLIO CHOICE AND ASSET PRICING WITH HETEROGENEOUS INFORMATION : COMPLETELY RANKED INFORMATION SETS PDF eBook |
Author | Chunsheng ZHOU |
Publisher | |
Pages | |
Release | 1994 |
Genre | |
ISBN |
Dynamic Portfolio Choice and Asset Pricing with Heterogeneous Information (II) : Differential Information Sets
Title | Dynamic Portfolio Choice and Asset Pricing with Heterogeneous Information (II) : Differential Information Sets PDF eBook |
Author | Chunsheng Zhou |
Publisher | |
Pages | |
Release | 1994 |
Genre | |
ISBN |
Dynamic Portfolio Choice and Asset Pricing with Heterogeneous Information
Title | Dynamic Portfolio Choice and Asset Pricing with Heterogeneous Information PDF eBook |
Author | Chunsheng Zhou |
Publisher | |
Pages | |
Release | 1994 |
Genre | Capital assets pricing model |
ISBN |
Asset Pricing and Portfolio Choice Theory
Title | Asset Pricing and Portfolio Choice Theory PDF eBook |
Author | Kerry Back |
Publisher | Oxford University Press |
Pages | 504 |
Release | 2010-09-10 |
Genre | Business & Economics |
ISBN | 0199939071 |
In Asset Pricing and Portfolio Choice Theory, Kerry E. Back at last offers what is at once a welcoming introduction to and a comprehensive overview of asset pricing. Useful as a textbook for graduate students in finance, with extensive exercises and a solutions manual available for professors, the book will also serve as an essential reference for scholars and professionals, as it includes detailed proofs and calculations as section appendices. Topics covered include the classical results on single-period, discrete-time, and continuous-time models, as well as various proposed explanations for the equity premium and risk-free rate puzzles and chapters on heterogeneous beliefs, asymmetric information, non-expected utility preferences, and production models. The book includes numerous exercises designed to provide practice with the concepts and to introduce additional results. Each chapter concludes with a notes and references section that supplies pathways to additional developments in the field.
International Portfolio Choice and Asset Pricing
Title | International Portfolio Choice and Asset Pricing PDF eBook |
Author | René M. Stulz |
Publisher | |
Pages | 56 |
Release | 1994 |
Genre | Capital assets pricing model |
ISBN |
In general, theories of portfolio choice and asset pricing let investors differ at most with respect to their preferences, their wealth and, possibly, their information sets. If there are multiple countries, however, the investment and consumption opportunity sets of investors depend on their country of residence. International portfolio choice and asset pricing theories attempt to understand how the existence of country-specific investment and consumption opportunity sets affect the portfolios held by investors and the expected returns of assets. In this paper, we review these theories within a common framework, discuss how they fare in empirical tests, and assess their relevance for the field of international finance.
Asset Pricing and Portfolio Choice Theory
Title | Asset Pricing and Portfolio Choice Theory PDF eBook |
Author | Kerry E. Back |
Publisher | Oxford University Press |
Pages | 608 |
Release | 2017-01-04 |
Genre | Business & Economics |
ISBN | 0190241152 |
In the 2nd edition of Asset Pricing and Portfolio Choice Theory, Kerry E. Back offers a concise yet comprehensive introduction to and overview of asset pricing. Intended as a textbook for asset pricing theory courses at the Ph.D. or Masters in Quantitative Finance level with extensive exercises and a solutions manual available for professors, the book is also an essential reference for financial researchers and professionals, as it includes detailed proofs and calculations as section appendices. The first two parts of the book explain portfolio choice and asset pricing theory in single-period, discrete-time, and continuous-time models. For valuation, the focus throughout is on stochastic discount factors and their properties. A section on derivative securities covers the usual derivatives (options, forwards and futures, and term structure models) and also applications of perpetual options to corporate debt, real options, and optimal irreversible investment. A chapter on "explaining puzzles" and the last part of the book provide introductions to a number of additional current topics in asset pricing research, including rare disasters, long-run risks, external and internal habits, asymmetric and incomplete information, heterogeneous beliefs, and non-expected-utility preferences. Each chapter includes a "Notes and References" section providing additional pathways to the literature. Each chapter also includes extensive exercises.
Equilibrium Asset Pricing Under Heterogeneous Information
Title | Equilibrium Asset Pricing Under Heterogeneous Information PDF eBook |
Author | Bruno Biais |
Publisher | |
Pages | 36 |
Release | 2004 |
Genre | |
ISBN |
We analyze theoretically and empirically the implications of heterogeneous information for equilibrium asset pricing and portfolio choice. Our theoretical framework, directly inspired by Admati (1985), implies that with partial information aggregation, portfolio separation fails, buy-and-hold strategies are not optimal, and investors should structure their portfolios using the information contained in prices in order to cope with winner's curse problems. We implement empirically such a price-contingent portfolio allocation strategy and show that it outperforms economically and statistically the passive/indexing buy-and-hold strategy. We thus demonstrate that prices reveal information, in contrast with the homogeneous information CAPM, but only partially, consistent with a Noisy Rational Expectations Equilibrium. The success of our pricecontingent strategy does not proxy for the success of trading strategies based purely on historical performance, such as momentum investment.