Overview

"In the 2nd edition of Asset Pricing and Portfolio Choice Theory, Kerry E. Back offers a concise yet comprehensive introduction to and overview of asset pricing. Intended as a textbook for asset pricing theory courses at the Ph.D. or Masters in Quantitative Finance level with extensive exercises and a solutions manual available for professors, the book is also an essential reference for financial researchers and professionals, as it includes detailed proofs and calculations as section appendices. 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. A section on derivative securities covers the usual derivatives (options, forwards and futures, and term structure models) and also applications of perpetual options to corporate debt, real options, and optimal irreversible investment. A chapter on ""explaining puzzles"" and the last part of the book provide introductions to a number of additional current topics in asset pricing research, including rare disasters, long-run risks, external and internal habits, asymmetric and incomplete information, heterogeneous beliefs, and non-expected-utility preferences. Each chapter includes a ""Notes and References"" section providing additional pathways to the literature. Each chapter also includes extensive exercises."

Full Product Details

Author:   Kerry E. Back (J. Howard Creekmore Professor of Finance, J. Howard Creekmore Professor of Finance, Jones School of Business, Rice University)
Publisher:   Oxford University Press Inc
Imprint:   Oxford University Press Inc
Edition:   2nd Revised edition
Dimensions:   Width: 15.70cm , Height: 3.80cm , Length: 23.60cm
Weight:   1.179kg
ISBN:  

9780190241148

ISBN 10:   0190241144
Pages:   744
Publication Date:   02 March 2017
Audience:   Professional and scholarly ,  Professional & Vocational
Format:   Hardback
Publisher's Status:   Active
Availability:   Manufactured on demand  
We will order this item for you from a manufactured on demand supplier.

Table of Contents

I. SINGLE-PERIOD MODELS 1. Utility and Risk Aversion 2. Portfolio Choice 3. Stochastic Discount Factors 4. Equilibrium and Efficiency 5. Mean-Variance Analysis 6. Factor Models 7. Representative Investors II. DYNAMIC MODELS 8. Dynamic Securities Markets 9. Dynamic Portfolio Choice 10. Dynamic Asset Pricing 11. Explaining Puzzles 12. Brownian Motion and Stochastic Calculus 13. Continuous-Time Markets 14. Continuous-Time Portfolio Choice and Pricing 15. Continuous-Time Topics III. DERIVATIVE SECURITIES 16. Option Pricing 17. Forwards, Futures, and More Option Pricing 18. Term Structure Models 19. Perpetual Options and the Leland Model 20. Real Options and q Theory IV. BELIEFS, INFORMATION, AND PREFERENCES 21. Heterogeneous Beliefs 22. Rational Expectations Equilibria 23. Learning 24. Information, Strategic Trading, and Liquidity 25. Alternative Preferences

Reviews

Kerry Back has created a masterful introduction to asset pricing and portfolio choice. The coverage of topics is comprehensive, starting in a single-period setting and then moving naturally to dynamic models in both discrete and continuous time. The numerous challenging exercises are yet another big strength. In short, an impressive achievement. -- <em>Robert F. Stambaugh, Miller Anderson & Sherrerd Professor of Finance, The Wharton School, University of Pennsylvania</em> Kerry Back offers us a rigorous, but accessible treatment of the asset pricing theory concepts that every doctoral student in finance should learn. A distinguished scholar in the field provides a presentation that is clear yet concise. -- <em>Eduardo Schwartz, California Chair in Real Estate and Land Economics, UCLA Anderson School of Management</em> In <em>Asset Pricing and Portfolio Choice Theory</em> Kerry Back has given us a comprehensive, rigorous and at the same time elegant and self-contained treatment of the important developments in this vast literature. It will be useful to graduate students and advanced undergraduate students in economics, finance, financial engineering, and management science as well as interested practitioners. -- <em>Ravi Jagannathan, Chicago Mercantile Exchange/John F. Sandner Professor of Finance and a Co-Director of the Financial Institutions and Markets Research Center, Kellogg School of Management, Northwestern University</em>

Author Information

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 at Rice University. Currently, he teaches introductory and advanced asset pricing theory to PhD students in the Jones School and in 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.

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