The paradox of assert pricing/ Peter Bossaerts

By:

Bossaerts, Peter

Material type:

TextPublication details: USA: Princeton University Press, 2002.Description: xiii, 170 pISBN:

0691090297

Subject(s):

Capital assets pricing model. Efficient market theory. Securities

DDC classification:

332.6 BOS/P

Contents:

1. Principles of Asset-Pricing Theory Wherein we review the basics of asset-pricing theory, starting from dynamic programming (pointing out some of the surprising simplifications when applied to portfolio analysis), introducing the notion of equilibrium,and then narrowing everything down to arrive at the Capital Asset-Pricing Model (CAPM). The emphasis is on the features that the CAPM shares with virtually all other asset-pricing models,namely, in equilibrium, prices are set so that expected excess returns are proportional to covariance with aggregate risk. Introduction 39 2.2 The Efficient Markets Hypothesis (EMH) 42 2.3 Violations of the Stationarity Assumption

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Holdings
Cover image	Item type	Current library	Home library	Collection	Shelving location	Call number	Materials specified	Vol info	URL	Copy number	Status	Notes	Date due	Barcode	Item holds	Item hold queue priority	Course reserves
	General Books	Central Library, Sikkim University General Book Section				332.6 BOS/P (Browse shelf(Opens below))					Available			P10106

Total holds: 0

1. Principles of Asset-Pricing Theory Wherein we review the basics of asset-pricing theory, starting from dynamic programming (pointing out some of the surprising simplifications when applied to portfolio analysis), introducing the notion of equilibrium,and then narrowing everything down to arrive at the Capital Asset-Pricing Model (CAPM). The emphasis is on the features that the CAPM shares with virtually all other asset-pricing models,namely, in equilibrium, prices are set so that expected excess returns are proportional to covariance with aggregate risk.
Introduction
39 2.2 The Efficient Markets Hypothesis (EMH)
42 2.3 Violations of the Stationarity Assumption

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