Asset Pricing / John H. Cochrane.
Material type: TextPublication details: Princeton, N.J. : Princeton University Press, 2005.Description: xvii, 533 p. : ill. ; 24 cmISBN:- 0691121370 (cl : alk. paper)
- 332.6 22 COC-A 2005 802325
Item type | Current library | Collection | Call number | Status | Notes | Date due | Barcode | Item holds | |
---|---|---|---|---|---|---|---|---|---|
Books | Lahore Business School Library Shelf No. 06, LBS | Book | 332.6 COC-A 2005 802325 (Browse shelf(Opens below)) | Long Overdue (Lost) | Issue to Ramiz ur Rehman Old Database Lims 802325 Asset Pricing Cochrane,John H. 20013 02/03/2011 | 802325 |
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