Asset Pricing and Portfolio Choice Theory

Asset Pricing and Portfolio Choice Theory

Review Asset Pricing and Portfolio Choice Theory

by KERRY E. BACK

Description

Kerry E. Back’s “Asset Pricing and Portfolio Choice Theory” is an advanced textbook that serves as a comprehensive, authoritative introduction to asset pricing and other theories. Aimed at those pursuing a course in Quantitative Finances as well as for professors in the field, “Asset Pricing and Portfolio Choice Theory” is considered as an essential to anything regarding the topic and explained in the most concise of details. 

With the first part of the book focusing on various asset pricing and portfolio choice theories in various models, “Asset Pricing and Portfolio Choice Theory” additionally delves into derivative securities as well as other subjects that are relevant in today’s market. 

Also filled with exercise at the end of every chapter, “Asset Pricing and Portfolio Choice Theory” is a must-have for anyone with advanced experience in the field and is looking for references to expand their knowledge.

About the Author

Kerry Back is the J. Howard Creekmore Professor of Finance at Rice University’s Jones Graduate School of Business and a Professor of Economics in the Rice University School of Social Sciences. He previously served on the faculties of Northwestern University, Indiana University, Washington University in St. Louis, and Texas A&M University. At Washington University in St. Louis, he served as the Associate Dean for Academic Affairs of the Olin School of Business and was named a University Distinguished Faculty Member. He received faculty research awards at Texas A&M and Rice University. Currently, he teaches introductory and advanced asset pricing theory to Ph.D. students in the Jones School and the Department of Economics. His research interests are in the areas of investments and market design, and he has served as an editor of the “Review of Financial Studies”, a co-editor of “Finance &Stochastics”, and an associate editor of the “Journal of Finance” and other journals.

Table of Contents

  • Preface to the First Edition
  • Preface to the Second Edition
  • Asset Pricing and Portfolio Puzzles
    • PART ONE – Single-Period Models
      • Utility and risk aversion
      • Portfolio Choice
      • Stochastic Factors
      • Equilibrium and Efficiency
      • Mean-Variance Analysis
      • Factor Models
      • Representative Investors
    • PART TWO – Dynamic Models
      • Dynamic Securities Markets
      • Dynamic Portfolio Choice
      • Dynamic Asset Pricing
      • Explaining Puzzles
      • Brownian Motion and Stochastic Calculus
      • Continuous-Time Markets
      • Continuous-Time Portfolio Choice and Pricing
      • Continuous-Time Topics
    • PART THREE – Derivative Securities
      • Option Pricing
      • Forwards, Futures, and More Option Pricing
      • Term Structure Models
      • Perpetual Options and the Leland Model
      • Real Options and q Theory
    • PART FOUR – Beliefs, Information, and Preferences
      • Heterogeneous Beliefs
      • Rational Expectations Equilibria
      • Learning
      • Information, Strategic Trading, and Liquidity
      • Alternative Preference
  • Appendices
    • Some Probability and Stochastic Process Theory
  • Bibliography
  • Index