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1、TheoryofFinancialDecisionMakingJonathanE.Ingersoll,Jr.YaleUniversityPrefaceInthepasttwentyyearsthequantityofnewandexcitingresearchinfinancehasbeenlarge,andasizablebodyofbasicmaterialnowliesatthecoreofourareaofstudy.Itisthepurposeofthisbooktopresentthiscoreinasystematicandthoroughfashion.Thenotesforth
2、isbookhavebeentheprimarytextforvariousdoctoral-levelcoursesinfinancialtheorythatIhavetaughtoverthepasteightyearsattheUniversityofChicagoandYaleUniversity.Ina11thecoursesthesenoteshavebeensupplementedwithreadingsselectedfromjournals.Readingoriginaljournalarticlesisanintegralpartoflearninganacademicfiel
3、d,sinceitservestointroducethestudentstotheongoingprocessofresearch,includingitsmis-stepsandcontroversies.Inmyopinionanyprogramofstudywouldbeamissnottoconveythiscontinuinggrowth.Thisbookisstructuredinfourparts.Thefirstpart,Chapters1-3,providesanintro-ductiontoutilitytheory,arbitrage,portfolioformation
4、,andefficientmarkets.Chapter1providessomenecessarybackgroundinmicroeconomics.Consumerchoiceisreviewed,andexpectedutilitymaximizationisintroduced.Riskaversionanditsmeasurementarealsocovered.Chapter2introducestheconceptofarbitrage.Theabsenceofarbitrageisoneofthemostconvincingand,therefore,farthest-reac
5、hingargumentsmadeinfinancialeconomics.Arbitragereasoningisthebasisforthearbitragepricingtheory,oneoftheleadingmodelspurportingtoexplainthecross-sectionaldifferenceinassetreturns,Perhapsmoreimpor-tant,theabsenceofarbitrageisthekeyinthedevelopmentoftheBlack-Scholesoptionpricingmodelanditsvariousderivat
6、ives,whichhavebeenusedtovalueawidevarietyofclaimsbothintheoryandinpractice.Chapter3beginsthestudyofsingle-periodportfolioproblems.Italsointroducesthestudenttothetheoryofefficientmarkets:thepremisethatassetpricesfullyreflectallinformationavailabletothemarket.Thetheoryofefficient(orrational)marketsisoneo
7、fthecornerstonesofmodernfinance;itpermeatesalmostallcurrentfinancialresearchandhasfoundwideacceptanceamongpractitioners,aswell.Inthesecondmainsection,Chapters4-9coversingle-periodequilibriummodels.Chap-
