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1、TheoryofFinancialDecisionMakingJonathanE.Ingersoll,Jr.YaleUniversityPrefaceInthepasttwentyyearsthequantityofnewandexcitingresearchinfinancehasbeenlarge,andasizablebodyofbasicmaterialnowliesatthecoreofourareaofstudy.Itisthepurposeofthisbooktopresentthiscore
2、inasystematicandthoroughfashion.Thenotesforthisbookhavebeentheprimarytextforvariousdoctoral-levelcoursesinfinancialtheorythatIhavetaughtoverthepasteightyearsattheUniversityofChicagoandYaleUniversity.Ina11thecoursesthesenoteshavebeensupplementedwithreadings
3、selectedfromjournals.Readingoriginaljournalarticlesisanintegralpartoflearninganacademicfield,sinceitservestointroducethestudentstotheongoingprocessofresearch,includingitsmis-stepsandcontroversies.Inmyopinionanyprogramofstudywouldbeamissnottoconveythisconti
4、nuinggrowth.Thisbookisstructuredinfourparts.Thefirstpart,Chapters1-3,providesanintro-ductiontoutilitytheory,arbitrage,portfolioformation,andefficientmarkets.Chapter1providessomenecessarybackgroundinmicroeconomics.Consumerchoiceisreviewed,andexpectedutilitym
5、aximizationisintroduced.Riskaversionanditsmeasurementarealsocovered.Chapter2introducestheconceptofarbitrage.Theabsenceofarbitrageisoneofthemostconvincingand,therefore,farthest-reachingargumentsmadeinfinancialeconomics.Arbitragereasoningisthebasisforthearbi
6、tragepricingtheory,oneoftheleadingmodelspurportingtoexplainthecross-sectionaldifferenceinassetreturns,Perhapsmoreimpor-tant,theabsenceofarbitrageisthekeyinthedevelopmentoftheBlack-Scholesoptionpricingmodelanditsvariousderivatives,whichhavebeenusedtovaluea
7、widevarietyofclaimsbothintheoryandinpractice.Chapter3beginsthestudyofsingle-periodportfolioproblems.Italsointroducesthestudenttothetheoryofefficientmarkets:thepremisethatassetpricesfullyreflectallinformationavailabletothemarket.Thetheoryofefficient(orrationa
8、l)marketsisoneofthecornerstonesofmodernfinance;itpermeatesalmostallcurrentfinancialresearchandhasfoundwideacceptanceamongpractitioners,aswell.Inthesecondmainsection,Chapters4-9coversingle-periodequilibriummodels.Chap-
