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Author:   Stephen F. LeRoy (University of California, Santa Barbara) ,  Jan Werner (University of Minnesota)
Publisher:   Cambridge University Press
Imprint:   Cambridge University Press
Edition:   2nd Revised edition
Dimensions:   Width: 17.70cm , Height: 2.20cm , Length: 25.40cm
Weight:   0.640kg
ISBN:  

9781107673021

ISBN 10:   110767302
Pages:   370
Publication Date:   11 August 2014
Audience:   Professional and scholarly ,  Professional & Vocational
Format:   Paperback
Publisher's Status:   Active
Availability:   Manufactured on demand  
We will order this item for you from a manufactured on demand supplier.

Table of Contents

Preface; Part I. Equilibrium and Arbitrage: 1. Equilibrium in security markets; 2. Linear pricing; 3. Arbitrage and positive pricing; Part II. Valuation: 4. Valuation; 5. State prices and risk-neutral probabilities; Part III. Portfolio Restrictions: 6. Portfolio restrictions; 7. Valuation under portfolio restrictions; Part IV. Risk: 8. Expected utility; 9. Risk aversion; 10. Risk; Part V. Optimal Portfolios: 11. Optimal portfolios with one risky security; 12. Comparative statics of optimal portfolios; 13. Optimal portfolios with several risky securities; Part VI. Equilibrium Prices and Allocations: 14. Consumption-based security pricing; 15. Complete markets and Pareto-optimal allocations of risk; 16. Optimality in incomplete markets; Part VII. Mean-Variance Analysis: 17. The expectations and pricing kernels; 18. The mean-variance frontier payoffs; 19. Capital asset pricing model; 20. Factor pricing; Part VIII. Multidate Security Markets: 21. Equilibrium in multidate security markets; 22. Multidate arbitrage and positivity; 23. Dynamically complete markets; 24. Valuation; Part IX. Martingale Property of Security Prices: 25. Event prices, risk-neutral probabilities, and the pricing kernel; 26. Martingale property of gains; 27. Conditional consumption-based security pricing; 28. Conditional beta pricing and the CAPM; Part X. Infinite-Time Security Markets: 29. Equilibrium in infinite-time security markets; 30. Arbitrage, valuation, and price bubbles; 31. Arrow–Debreu equilibrium in infinite time.

Reviews

'With this new edition, LeRoy and Werner have solidified the standing of their Principles of Financial Economics as the ideal introduction to neoclassical asset pricing models. The coverage is authoritative, rigorous, elegant, and now even more comprehensive.' Darrell Duffie, Dean Witter Distinguished Professor of Finance, Graduate School of Business, Stanford University 'This remains the best textbook that marries general equilibrium foundations to the insights and tools of finance, with the addition of a wonderfully lucid analysis of infinite horizon models - with bubbles or au naturel. This is a required text for my introductory graduate finance course.' Stephen A. Ross, Franco Modigliani Professor of Financial Economics, Sloan School, Massachusetts Institute of Technology 'A tour de force of rigor, readability, and clarity. The book seamlessly introduces the beginning doctoral student to financial economics as a natural extension of microeconomic and general equilibrium theory. The book, written by two of the profession's leading experts, is unique.' Rajnish Mehra, Arizona State University

Advance praise: 'With this new edition, LeRoy and Werner have solidified the standing of their Principles of Financial Economics as the ideal introduction to neoclassical asset pricing models. The coverage is authoritative, rigorous, elegant, and now even more comprehensive.' Darrell Duffie, Dean Witter Distinguished Professor of Finance, Graduate School of Business, Stanford University Advance praise: 'This remains the best textbook that marries general equilibrium foundations to the insights and tools of finance, with the addition of a wonderfully lucid analysis of infinite horizon models - with bubbles or au naturel. This is a required text for my introductory graduate finance course.' Stephen A. Ross, Franco Modigliani Professor of Financial Economics, Sloan School, Massachusetts Institute of Technology Advance praise: 'A tour de force of rigor, readability, and clarity. The book seamlessly introduces the beginning doctoral student to financial economics as a natural extension of microeconomic and general equilibrium theory. The book, written by two of the profession's leading experts, is unique.' Rajnish Mehra, Arizona State University

Author Information

Stephen F. LeRoy is Professor of Economics Emeritus at the University of California, Santa Barbara. Early in his career, he was an economist in the research departments of the Federal Reserve Bank of Kansas City and the Board of Governors of the Federal Reserve System. He then moved to the economics department at the University of California, Santa Barbara. He also served as Carlson Professor of Finance in the Carlson School of Management, University of Minnesota. He has had visiting appointments at the University of California, Berkeley, the University of California, Davis, the California Institute of Technology, and the University of Chicago. He earned his PhD in economics from the University of Pennsylvania. Jan Werner is Professor of Economics at the University of Minnesota. He has taught at the Pompeu Fabra University, Barcelona, the Institute for Advanced Studies in Vienna, and the Central University of Finance and Economics, Beijing. He has had visiting appointments at the University of Bonn, the European University Institute, Florence, and Université Paris Dauphine. He serves on the editorial boards of Economic Theory, the Journal of Mathematical Economics, the Annals of Finance, and the Central European Journal of Economic Modeling and Econometrics. He earned his PhD in economics from the University of Bonn.

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