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Asset Pricing and Portfolio Choice Theory
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Asset Pricing and Portfolio Choice Theory

Kerry E. Back

Abstract

This book is intended as a textbook for asset pricing theory courses at the Ph.D. or Masters in Quantitative Finance level and as a reference for financial researchers. The first two parts of the book explain portfolio choice and asset pricing theory in single‐period, discrete‐time, and continuous‐time models. For valuation, the focus throughout is on stochastic discount factors and their properties. Traditional factor models, including the CAPM, are related to or derived from stochastic discount factors. A chapter on stochastic calculus provides the needed tools for analyzing continuous‐time ... More

Keywords: asset pricing theory, portfolio choice, stochastic discount factor, factor model, CAPM, stochastic calculus

Bibliographic Information

Print publication date: 2017 Print ISBN-13: 9780190241148
Published to Oxford Scholarship Online: May 2017 DOI:10.1093/acprof:oso/9780190241148.001.0001

Authors

Affiliations are at time of print publication.

Kerry E. Back, author
J. Howard Creekmore Professor of Finance, Jones School of Business, Rice University

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