Asset Pricing George Pennacchi.pdf

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1、TheoryofAssetPricingGeorgePennacchiDecember2006iiContentsPrefacexiiiISingle-PeriodPortfolioChoiceandAssetPricing11ExpectedUtilityandRiskAversion31.1PreferenceswhenReturnsAreUncertain..............41.2RiskAversionandRiskPremia...................141.3RiskAversionandPortfolioChoice.............

2、....251.4Summary...............................331.5Exercises...............................342Mean-VarianceAnalysis372.1AssumptionsonPreferencesandAssetReturns..........392.2InvestorIndifferenceRelations....................432.3TheEfficientFrontier........................472.3.1ASimpleExample.

3、.....................472.3.2MathematicsoftheEfficientFrontier............512.3.3PortfolioSeparation.....................552.4TheEfficientFrontierwithaRisklessAsset............592.4.1AnExamplewithNegativeExponentialUtility......65iiiivCONTENTS2.5AnApplicationtoCross-Hedging..................682.6

4、Summary...............................722.7Exercises...............................723CAPM,Arbitrage,andLinearFactorModels773.1TheCapitalAssetPricingModel..................793.1.1CharacteristicsoftheTangencyPortfolio.........803.1.2MarketEquilibrium.....................823.2Arbitrage........

5、.......................893.2.1ExamplesofArbitragePricing...............913.3LinearFactorModels.........................953.4Summary...............................1033.5Exercises...............................1044Consumption-SavingsandStatePricing1074.1ConsumptionandPortfolioChoices..........

6、.......1094.2AnAssetPricingInterpretation...................1144.2.1RealversusNominalReturns................1164.2.2RiskPremiaandtheMarginalUtilityofConsumption..1174.2.3TheRelationshiptoCAPM.................1184.2.4BoundsonRiskPremia...................1194.3MarketCompleteness,Arbitrage,andS

7、tatePricing........1244.3.1CompleteMarketsAssumptions...............1244.3.2ArbitrageandStatePrices.................1264.3.3Risk-NeutralProbabilities..................1294.3.4StatePricingExtensions...................1314.4Summary...................