Intermediate financial theory .pdf

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1、ListofFrequentlyUsedSymbolsandNotationAtextsuchasIntermediateFinancialTheoryis,bynature,relativelynota-tionintensive.Wehaveadoptedastrategytominimizethenotationalburdenwithineachindividualchapteratthecostofbeing,attimes,inconsistentinouruseofsymbolsa

2、crosschapters.Welisthereasetofsymbolsregularlyusedwiththeirspeci¯cmeaning.Attimes,however,wehavefounditmorepracticaltousesomeofthelistedsymbolstorepresentadi®erentconcept.Inotherin-stances,clarityrequiredmakingthesymbolicrepresentationmoreprecise(e.g

3、.,bybeingmorespeci¯castothetimedimensionofaninterestrate).RomanAlphabetaAmountinvestedintheriskyasset;inChapter14,fractionofwealthinvestedintheriskyassetorportfolioATTransposeofthematrix(orvector)AcConsumption;inChapter14only,consumptionisrepresented

4、byC;whilecrepresentslnCckConsumptionofagentkinstateofnatureµµCECertaintyequivalentCAPriceofanAmericancalloptionCEPriceofaEuropeancalloptiondDividendrateoramount¢Numberofsharesinthereplicatingportfolio(ChapterxxETheexpectationsoperatorekEndowmentofage

5、ntkinstateofnatureµµfFuturesposition(Chapter16);pfPriceofafuturescontract(Chapter16)F;GCumulativedistributionfunctionsassociatedwithdensities:f;gProbabilitydensityfunctionsKThestrikeorexercisepriceofanoptionK(~x)Kurtosisoftherandomvariable~xLAlottery

6、LLagrangianmPricingkernelMThemarketportfolioMUkMarginalutilityofagentkinstateµµpPriceofanarbitraryassetPMeasureofAbsolutePrudenceqArrow-DebreupriceqbPriceofrisk-freediscountbond,occasionallydenotedprfqePriceofequityrfRateofreturnonarisk-freeassetRfGr

7、ossrateofreturnonarisk-freeassetr~RateofreturnonariskyassetR~Grossrateofreturnonariskyasset1RAAbsoluteriskaversioncoe±cientRRRelativeriskaversioncoe±cientsUsuallydenotestheamountsavedSInthecontextofdiscussingoptions,usedtodenotethepriceoftheunderlyin

8、gstockS(~x)Skewnessoftherandomvariable~xTTransitionmatrixUUtilityfunctionUvonNeuman-MorgensternutilityfunctionVUsuallydenotesvariance-covariancematrixofassetreturns;occasionallyisusedasanotherutilityfunctionsymbol;mayalsosignifyvalueasinVpThevalueofp