Lecture Notes in Financial Economics R20070826E

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1、LectureNotesinFinancialEconomics°cbyAntonioMeleTheLondonSchoolofEconomicsandPoliticalScienceJanuary2007ContentsPreface............................................10IFoundations111Theclassicalcapitalassetpricingmodel121.1Staticportfolioselectionproblem

2、s..........................121.1.1Thewealthconstraint............................121.1.2Theprogram.................................131.1.3Theprogramwithoutasafeasset......................141.1.4Themarket,or“tangency”,portfolio....................161.2

3、TheCAPM......................................181.3Appendix1:Analyticsdetailsforthemean-varianceportfoliochoice.......221.3.1Theprimalprogram.............................221.3.2Thedualprogram...............................232TheCAPMingeneralequilibrium

4、252.1Introduction......................................252.2Staticgeneralequilibriuminanutshell.......................252.2.1Walras’Lawandhomogeneityofdegreezerooftheexcessdemandfunctions272.2.2Competitiveequilibrium...........................272.2.3B

5、acktoWalras’law.............................282.2.4Thenotionofnum´eraire...........................282.2.5Optimality...................................292.3Timeanduncertaintyingeneralequilibrium....................312.4Theroleoffinancialassets.........

6、.....................322.5Arbitrageandoptimality...............................332.5.1Howtopriceafinancialasset?........................33Contents°cbyA.Mele2.5.2AbsenceofarbitrageopportunitiesandArrow-Debreueconomies.....352.6Equivalentmartingalemeasur

7、esandequilibrium..................392.6.1Therationalexpectationsassumption....................392.6.2Stochasticdiscountfactors..........................392.6.3Equilibriumandoptimality.........................412.6.4Existence...........................

8、........432.7Consumption-basedCAPM.............................432.7.1Thebetarelationship.............................432.7.2Therisk-premium...............................442.7.3CCAPM&CAPM..............................442.8Unifiedbudgetconstrai