Asset pricing / John H. Cochrane.
By: Cochrane, John H. (John Howland).
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Item type | Current location | Call number | Copy number | Status | Date due |
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Indian Institute of Management Udaipur A6/2 | 332.6 (Browse shelf) | 1 | Available |
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332.6 Benjamin Graham, Building A Profession | 332.6 The alchemy of finance / | 332.6 Capital ideas evolving / | 332.6 Asset pricing / | 332.6 Investment fables : | 332.6 The Thoughtful Investor : | 332.6 Quantitative equity portfolio management : |
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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