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動態(tài)經(jīng)濟(jì)用的資產(chǎn)定價
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動態(tài)經(jīng)濟(jì)用的資產(chǎn)定價 版權(quán)信息
- ISBN：9787510050749
- 條形碼：9787510050749 ; 978-7-5100-5074-9
- 裝幀：一般膠版紙
- 冊數(shù)：暫無
- 重量：暫無
- 所屬分類：>>
動態(tài)經(jīng)濟(jì)用的資產(chǎn)定價 本書特色
《動態(tài)經(jīng)濟(jì)用的資產(chǎn)定價》由奧特格所著，本書是一部教科書，書中運(yùn)用宏觀經(jīng)濟(jì)和金融分析的整體方法講述了一般平衡態(tài)模型，為學(xué)生、學(xué)者和決策人員提供了研究大量經(jīng)濟(jì)現(xiàn)象的實用工具。其中，提供了學(xué)習(xí)動態(tài)經(jīng)濟(jì)模型的一致框架，引入離散時間中金融概念中的關(guān)鍵概念，深入研究了分析動態(tài)、隨機(jī)環(huán)境中的各種問題循環(huán)方法，建立了消費(fèi)、產(chǎn)出和投資模型中研究資產(chǎn)配置和分配的方法，概述了商業(yè)循環(huán)分析和商業(yè)循環(huán)在貨幣和國際模型中的應(yīng)用，囊括了跨際疊代模型中資產(chǎn)定價、借款約束和交易成本的*新研究。每章末都有習(xí)題，這些習(xí)題可以指導(dǎo)讀者更好地學(xué)習(xí)本科目。
動態(tài)經(jīng)濟(jì)用的資產(chǎn)定價 內(nèi)容簡介
the starting point for any analysis in finance involves assigning a cur-rent price to a future strearfi of uncertain payoffs．this is the basic notionbehind any asset．pricing model．take for example，the price of a shareto a competitive firm．since the share entitles the owner to claims for the future profits of the firm．a(chǎn) central problem is to assign a value to thesefuture profits．take another asset-a house．this provides housing ser-vices in all states of nature and at all dates．consequently，the value of thehouse today must reflect the value of these future services。other examplesinclude the pricing of durable goods or investment projects based on theirfuture expected marginal products.one approach to monetary economicsalso follows this basic principle-if money as an asset has value in equilib，rium（in the absence of any legal restrictions），then this value must reflectthe stream of services provided by this asset． our approach is to derive pricing relationships for different assets byspecilying the economic environment at the outset.ohe of the earliestexamples of this approach is merton〔342〕．however，merton does notrelate the technological sources of uncertainty to the equilibrium prices ofthe riskv assets．a(chǎn)iternatively，he assumes a given stochastic process for thereturns of different types of assets and then prices them given assumptionsabout consumer preferences．consequently，the supply side is not explic.itly considered by merton．the asset-pricing model of lucas〔317〕is fullygeneral equilibrium but it is an endowment economy，so that consumptionand investment decisions are trivial．brock〔76〕develops an asset．pricingmodel with both the demand and supply side fully specified and links itup to ross‘s〔369〕arbitrage pricing model． in this book，we will start from an explicit economic environment anddeduce the implications for asset prices，and the form of the asset-pricingfulnction from the equilibrium in these environments．to study the prob-lem of asset pricing，we couid also follow another approach：we couldtake a very general and abstract approach，vmwlng asset pricing as thevaluation of a future stream of uncertain payoffs from the asset accord．mg to a general pricing function．（aiven a minimal set ot assumpnonsabout the set of payoffs，we could try to characterize the properties ofthis abstract pricing function．
動態(tài)經(jīng)濟(jì)用的資產(chǎn)定價 目錄
list of figures
list of tables
preface
i basic concepts
1 complete contingent claims
2 arbtrage and asset vauation
3 expected utility
4 capm and apt
5 consumption and saving
ii recursive models
6 dynamic programming
7 intertemporal risk sharing
8 consumption and asset pricing
9 non-separable preferences
10 economies with production
11 investment
12 business cycles
iii monetary and internatl0nal model5
13 models with cash-in-advance constraints
14 international asset markets
iv moqels with market incompleteness
15 asset}3ricing with frictions
16 borrowina constraints
17 overlapping generations models
v supplementaryry material
a mathematical appendix
a．1 stochastic processes
a．2 some useful theorems
bibliography
index
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