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 a highly-advanced financial textbook for predetermining asset prices and the theories that revolve around it. A two-parter that expounds into what portfolio choice and asset pricing theory are, this second edition of “Asset Pricing and Portfolio Choice Theory,” explains everything in concise detail. With a large portion of the book focusing on the binomial model as well as the Continuous-Time subject. The second edition of “Asset Pricing and Portfolio Choice Theory” adds in both pricing and preferences under skewness and kurtosis, Jensen’s alpha and performance evaluation, Campbell-Schiller linearization and log-linearization, outlier disasters long-run risks, jump processes, the Lealand Captial Structure model, q theory, Filtering (i.e., “learning”), the Glosten-Milgrom model, and many more. This Ph.D. level book of asset pricing and portfolio choice theory is essential for anyone getting into the field.

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