Webb内容简介 · · · · · ·. Theory of Asset Pricing unifies the central tenets and techniques of asset valuation into a single, comprehensive resource that is ideal for the first PhD course in … WebbFinancial Asset Pricing Theory Black and Scholes (1973) and Merton (1973, 1974) (hereafter referred to as BSM) introduced the contingent claim approach (CCA) to the …
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WebbIn this paper, we derive an analytical solution to the dynamic optimal portfolio choice problem in the case of an investor equipped with a power utility function of wealth. The results are established by solving the Bellman backward recursion under Webb10 juni 2024 · theory of asset pricing and portfolio selection in multiperiod settings under uncertainty. The asset pricing results are based on the three increasingly restrictive assumptions: absence of arbitrage, single-agent optimality, and equilibrium. These results are unified with two key concepts, state prices and martingales. green bottle shop
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