Coverart for item
The Resource Asset pricing, John H. Cochrane

Asset pricing, John H. Cochrane

Label
Asset pricing
Title
Asset pricing
Statement of responsibility
John H. Cochrane
Creator
Subject
Language
eng
Summary
"Written to be a summary for academics and professionals as well as a textbook, this book condenses and advances recent scholarship in financial economics. This revised edition corrects the original printing throughout, and updates and clarifies the treatment of a number of important topics."--Jacket
Cataloging source
DLC
http://library.link/vocab/creatorDate
1957-
http://library.link/vocab/creatorName
Cochrane, John H.
Illustrations
illustrations
Index
index present
Literary form
non fiction
Nature of contents
bibliography
http://library.link/vocab/subjectName
  • Capital assets pricing model
  • Securities
  • Modèle de fixation du prix des actifs
  • Valeurs mobilières
  • Capital assets pricing model
  • Securities
  • Kapitaalgoederen
  • Prijsvorming
  • Effecten
  • Economische modellen
  • Modèle d'évaluation des actifs financiers
  • Actif financier
  • Option (Finances)
  • Obligation (Valeur mobilière)
  • Fixation des prix
  • Capital-Asset-Pricing-Modell
Label
Asset pricing, John H. Cochrane
Instantiates
Publication
Bibliography note
Includes bibliographical references (pages 497-511) and indexes
Carrier category
volume
Carrier category code
  • nc
Carrier MARC source
rdacarrier
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
Part I: Asset pricing theory. 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 -- Part II: Estimating and evaluating asset 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? -- Part III: Bonds and options. Option pricing ; Option pricing without perfect replication ; Term structure of interest rates -- Part IV: Empirical survey. Expected returns in the time series and cross section ; Equity premium puzzle and consumption-based models -- Appendix: Continuous time. A.1 Brownian motion ; A.2 Diffusion model ; A.3 Ito's Lemma ; Problems
Control code
55518499
Dimensions
24 cm
Edition
Revised edition
Extent
xvii, 533 pages
Isbn
9780691121376
Lccn
2004050561
Media category
unmediated
Media MARC source
rdamedia
Media type code
  • n
Other physical details
illustrations
System control number
(OCoLC)55518499
Label
Asset pricing, John H. Cochrane
Publication
Bibliography note
Includes bibliographical references (pages 497-511) and indexes
Carrier category
volume
Carrier category code
  • nc
Carrier MARC source
rdacarrier
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
Part I: Asset pricing theory. 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 -- Part II: Estimating and evaluating asset 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? -- Part III: Bonds and options. Option pricing ; Option pricing without perfect replication ; Term structure of interest rates -- Part IV: Empirical survey. Expected returns in the time series and cross section ; Equity premium puzzle and consumption-based models -- Appendix: Continuous time. A.1 Brownian motion ; A.2 Diffusion model ; A.3 Ito's Lemma ; Problems
Control code
55518499
Dimensions
24 cm
Edition
Revised edition
Extent
xvii, 533 pages
Isbn
9780691121376
Lccn
2004050561
Media category
unmediated
Media MARC source
rdamedia
Media type code
  • n
Other physical details
illustrations
System control number
(OCoLC)55518499

Library Locations

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