Asset pricing / John H. Cochrane.
By: Cochrane, John H. (John Howland).
Material type:
BookPublisher: New Delhi ; Princeton, N.J. : New Age International, Princeton University Press, 2010Edition: Rev. ed.Description: xvii, 533 p. : ill. ; 24 cm.ISBN: 9788122431247 (hbk); 0691121370 (cl : alk. paper).Subject(s): Capital assets pricing model | SecuritiesDDC classification: 332.6 Online resources: Publisher description | Contributor biographical information | Item type | Current location | Call number | Copy number | Status | Date due |
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Monograph
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Indian Institute of Management Udaipur A6/2 | 332.6 (Browse shelf) | 1 | Available |
Includes bibliographical references (p. 497-511) and indexes.
Consumption-based model and overview -- Applying the basic model -- Contingent claims markets -- The discount factor -- Mean-variance frontier and beta representations -- Relation between discount factors, betas, and mean-variance frontiers -- Implications of existence and equivalence theorems -- Conditioning information -- Factor pricing models -- GMM in explicit discount factor models -- GMM : general formulas and applications -- Regression-based tests of linear factor models -- GMM for linear factor models in discount factor form -- Maximum likelihood -- Time-series, cross-section, and GMM/DF tests of linear factor models -- Which method? -- Option pricing -- Option pricing without perfect replication -- Term structure of interest rates -- Expected returns in the time series and cross section -- Equity premium puzzle and consumption-based models -- Appendix: -- A.1 Brownian motion -- A.2 Diffusion model -- A.3 Ito's Lemma
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