C.Munk - Financial Asset Pricing Theory [2005]

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1、Financialassetpricingtheory∗ClausMunk†Thisversion:October3,2005CorrectedbyDecember2,2005∗Preliminaryandincompletelecturenotesintendedforuseatanadvancedmaster’sleveloranintroductoryPh.D.level.Iappreciatecommentsandcorrectionsfromstudentsexposedtoearlierversionsofthesenotes.Additionalcommentsandsugg

2、estionsareverywelcome!†DepartmentofBusinessandEconomics,UniversityofSouthernDenmark,Campusvej55,DK-5230OdenseM,Denmark.Phone:65503257.Fax:65930726.E-mail:cmu@sam.sdu.dkContents1IntroductionandOverview11.1Whatismodernassetpricing?.............................11.2Elementsofassetpricingmodels........

3、....................31.2.1Assets.......................................31.2.2Investors.....................................31.2.3Equilibrium....................................51.2.4Thetimespanofthemodel...........................51.3Theorganizationofthisbook..............................61.4Prere

4、quisites.......................................71.4.1Linearalgebra,vectors,andmatrices......................71.4.2Optimization...................................81.4.3Probabilitytheory................................82One-periodmodels:alternativeformulationsofassetpricingmodels152.1Introduction...

5、.....................................152.2Assets,portfolios,andarbitrage.............................162.2.1Modelingassetsandportfolios.........................162.2.2Thelawofonepriceandtheabsenceofarbitrage...............182.2.3Redundantassets.................................192.2.4Marketeddivide

6、ndsandmarketcompleteness.................212.3State-pricevectorsanddeflators............................232.3.1Definitionandbasicproperties.........................232.3.2Whendostatepricesexist?...........................252.3.3Whenarestatepricesunique?.........................262.3.4TheHansen-Jagan

7、nathanbound........................312.4Risk-adjustedprobabilities................................312.4.1Risk-neutralprobabilities............................312.4.2Generalrisk-adjustedprobabilitymeasures........