LeRoy &ampamp;amp; Werner - Principles of Financial Economics.pdf

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1、PrinciplesofFinancialEconomicsStephenF.LeRoyUniversityofCalifornia,SantaBarbaraandJanWernerUniversityofMinnesota@March10,2000,StephenF.LeRoyandJanWernerContentsIEquilibriumandArbitrage11EquilibriuminSecurityMarkets31.1Introduction.........................................31.2SecurityMarkets........

2、..............................31.3Agents...........................................51.4ConsumptionandPortfolioChoice............................61.5First-OrderConditions...................................61.6LeftandRightInversesofX...............................71.7GeneralEquilibrium..............

3、......................81.8ExistenceandUniquenessofEquilibrium........................81.9RepresentativeAgentModels...............................92LinearPricing132.1Introduction.........................................132.2TheLawofOnePrice...................................132.3ThePayo®PricingFunc

4、tional...............................132.4LinearEquilibriumPricing................................142.5StatePricesinCompleteMarkets.............................152.6RecastingtheOptimizationProblem...........................163ArbitrageandPositivePricing213.1Introduction............................

5、.............213.2ArbitrageandStrongArbitrage..............................213.3ADiagrammaticRepresentation.............................223.4PositivityofthePayo®PricingFunctional........................223.5PositiveStatePrices....................................233.6ArbitrageandOptimalPortfolios..

6、...........................233.7PositiveEquilibriumPricing................................254PortfolioRestrictions294.1Introduction.........................................294.2ShortSalesRestrictions..................................294.3PortfolioChoiceunderShortSalesRestrictions..................

7、...304.4TheLawofOnePrice...................................314.5LimitedandUnlimitedArbitrage............................324.6DiagrammaticRepresentation...............................324.7Bid-AskSpreads...........