02012cam a2200253 a 4500 1/43774 130905s2005 enka b 001 0 eng 0691121370 (cl : alk. paper) 46703 DLC DLC GR-PeUP 332.6 COC Cochrane, John H. (John Howland) Asset pricing / John H. Cochrane. Αναθεωρημένη έκδοση. Princeton, N.J. : Princeton University Press, 2005. xvii, 533 σ. : εικ. ; 24 εκ. Περιέχει βιβλιογραφία και ευρετήριο. 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 Capital assets pricing model. Securities. INST UNIPILB MAIN 20130905 332.6 COC 00169388 00169388 LOAN 0 1 Publisher description http://www.loc.gov/catdir/description/prin051/2004050561.html Contributor biographical information http://www.loc.gov/catdir/enhancements/fy0734/2004050561-b.html /webopac/covers/03/46703_0691121370.jpg (cl : alk. paper)