Table of Contents

Part I. Equilibrium and Arbitrage: 1. General equilibrium in security markets; 2. Linear pricing; 3. Arbitrage and positive pricing; 4. Portfolio restrictions; Part II. Valuation: 5. Valuation; 6. State prices and risk-neutral probabilities; 7. Valuation under portfolio restrictions; Part III. Risk: 8. Expected utility; 9. Risk aversion; 10. Risk; Part IV. Optimal Portfolios: 11. Optimal portfolios with one risky security; 12. Comparative statics of optimal portfolios; 13. Optimal portfolios with several risky securities; Part V. Equilibrium Prices and Allocations: 14. Consumption-based security pricing; 15. Complete markets and Pareto-optimal allocations of risk; 16. Optimality in incomplete security markets; Part VI. Mean-Variance Models: 17. The expectations and pricing kernels; 18. The mean-variance frontier payoffs; 19. CAPM; 20. Factor pricing; Part VII. Multidate Models: 21. A multidate model of security markets; 22. Multidate arbitrage and positivity; 23. Dynamically complete markets; 24. Valuation; 25. Event process, risk-neutral probabilities and the pricing kernel; 26. Security gains as martingales; 27. Consumption-based security pricing; 28. The frontier payoffs and the CAPM.

Promotional Information

This graduate-level 2001 introduction links financial economics with equilibrium theory and emphasises two-date models.

Reviews

'This is an excellent introduction to the exciting field of financial economics, rigorous yet filled with economic intuition, and with a refreshing emphasis on equilibrium that is reminiscent of Debreu's elegant and pithy monograph.' Andrew Lo, Massachusetts Institute of Technology