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Asset pricing / John H. Cochrane

データ種別	図書
版	Rev. ed
出版情報	Princeton, N.J. : Princeton University Press , 2005
本文言語	英語
大きさ	xvii, 533 p. : ill. ; 24 cm

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配架場所	請求記号	巻　次	ISBN	資料番号	資料状態	利用注記	コメント	予約・取寄	申込書	仮想書架
書庫5階	HG:4636:C56:2005	: cl	0691121370	004445922				予約・取寄		仮想書架	予約・取寄		仮想書架

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内容注記	Consumption-based model and overview Applying the basic model Contingent claims markets The discount factor Mean-variance frontier and beta representations Relation between discount factors, betas, and mean-variance frontiers Implications of existence and equivalence theorems Conditioning information Factor pricing models GMM in explicit discount factor models GMM : general formulas and applications Regression-based tests of linear factor models GMM for linear factor models in discount factor form Maximum likelihood Time-series, cross-section, and GMM/DF tests of linear factor models Which method? Option pricing Option pricing without perfect replication Term structure of interest rates Expected returns in the time series and cross section Equity premium puzzle and consumption-based models Appendix A.1 Brownian motion A.2 Diffusion model A.3 Ito's Lemma
一般注記	Includes bibliographical references (p. 497-511) and indexes
著者標目	*Cochrane, John H. (John Howland)
件　名	LCSH:Capital assets pricing model LCSH:Securities
分　類	LCC:HG4636 DC22:332.6
巻冊次	: cl ; ISBN:0691121370
ISBN	0691121370

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