Asset Pricing Cochrane

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1、AssetPricingRevisedEditionJohnH.CochranePrincetonUniversityPressPrincetonandOxford“fm”—2004/10/7—pageiii—#3ContentsAcknowledgmentsvPrefacexiiiPartI.AssetPricingTheory11Consumption-BasedModelandOverview31.1BasicPricingEquation..............................41.2MarginalRateofSubstit

2、ution/StochasticDiscountFactor61.3Prices,Payoffs,andNotation.........................81.4ClassicIssuesinFinance............................101.5DiscountFactorsinContinuousTime.................25Problems.........................................312ApplyingtheBasicModel352.1Assumpti

3、onsandApplicability.......................352.2GeneralEquilibrium...............................372.3Consumption-BasedModelinPractice................412.4AlternativeAssetPricingModels:Overview.............43Problems.........................................453ContingentClaimsMarke

4、ts493.1ContingentClaims.................................493.2Risk-NeutralProbabilities...........................513.3InvestorsAgain....................................533.4RiskSharing......................................543.5StateDiagramandPriceFunction....................564Th

5、eDiscountFactor614.1LawofOnePriceandExistenceofaDiscountFactor....624.2NoArbitrageandPositiveDiscountFactors............67vii“fm”—2004/10/7—pagevii—#7viiiContents4.3AnAlternativeFormula,andx*inContinuousTime.....72Problems.........................................755Mean-VarianceF

6、rontierandBetaRepresentations775.1ExpectedReturn-BetaRepresentations................785.2Mean-VarianceFrontier:IntuitionandLagrangianCharacterization...................................815.3AnOrthogonalCharacterizationoftheMean-VarianceFrontier.....................................

7、.....845.4SpanningtheMean-VarianceFrontier.................885.5ACompilationofPropertiesofR∗,Re∗,andx∗..........895.6Mean-VarianceFrontiersforDiscountFactors:TheHansen–JagannathanBounds........................92Problems.........................................976RelationbetweenDi

8、scountFactors,Betas,andMean-VarianceFron