Basic principles of finance No arbitrage Optimization and equilibrium a efficiency
Basic principles of finance ◼ No arbitrage ◼ Optimization and equilibrium ◼ efficiency
Classical papers ■H.M. Markowitz均值-方差模型(Mean variance model) Harry m. markowitz, portfolio selection, Journal of Finance,7(1):77-91,1952 nW.F. Sharpe, J. Lintner j, mossin资本资产定 价模型 Capital asset Pricing Model (CAPM) W. F. Sharpe, Capital Asset Prices: A Theory od Market Equilibrium Under Conditions of Risk Journal of Finance, 20(3): 425-442, 1964
Classical papers ◼ H. M. Markowitz 均值-方差模型 (Meanvariance model) ◼ Harry M. Markowitz, Portfolio Selection, Journal of Finance, 7(1):77-91, 1952. ◼ W. F. Sharpe , J. Lintner, J. Mossin 资本资产定 价模型 Capital Asset Pricing Model (CAPM) ◼ W. F. Sharpe, Capital Asset Prices: A Theory od Market Equilibrium Under Conditions of Risk, Journal of Finance, 20(3):425-442, 1964
■S.A.RoSS套利定价理论 Arbitrage Pricing Theory( aPt S.A. Ross, The arbitrage Theory of Capital Asset Pricing Journal of Economic Theory 13 (3): 341 360,1976
◼ S. A. Ross 套利定价理论Arbitrage Pricing Theory(APT) ◼ S. A. Ross, The Arbitrage Theory of Capital Asset Pricing,, Journal of Economic Theory, 13(3):341- 360, 1976
Pricing and hedging contingent claims F. Black and M. Scholes, The Pricing of Options and Corporate liabilities Journal of political Economy81(3):637-654,1973. R. Merton, Theory of Rational Option Pricing, Bell Journal of Economics and management Science,4(1):141-183,1973. J. CoX, S. Ross and m. rubinstein option Pricing: A simplified approach, Journal of Financial Economics,7, 229-264, 1979
◼ Pricing and hedging contingent claims ◼ F. Black and M. Scholes, The Pricing of Options and Corporate Liabilities, Journal of Political Economy, 81(3):637-654, 1973. ◼ R. Merton, Theory of Rational Option Pricing, Bell Journal of Economics and Management Science, 4(1):141-183, 1973. ◼ J. Cox, S. Ross, and M. Rubinstein, Option Pricing: A simplified approach, Journal of Financial Economics, 7, 229-264, 1979
consumption and portfolio decisions Complete markets R. Merton optimum consumption and portfolio rules in a continuous time model Journal of economic theory 3, 373 413,1971 J. C. Cox and chi-fu Huang Optimal consumption and portfolio policies when asset prices follow a diffusion process, Journal of Economic Theory 39, 33-83, 1989 I Karatzas, J Lehoczky, and s Shreve, Optimal portfolio and consumption decisions for a small investor on a finite horizon SIAM Journal on Control and Optimization 25, 1557-1586 1987. G. Constantinides Habit Formation A resolution of equity premium puzzle, Journal of political Economy 98, 519-543 1990 D. Duffie and L. Epstein Stochastic differential utility Econometrica, 60, 353-394, 1991
◼ Consumption and portfolio decisions ◼ Complete markets ◼ R. Merton, Optimum consumption and portfolio rules in a continuous time model, Journal of Economic Theory, 3, 373- 413, 1971. ◼ J. C. Cox and Chi-fu Huang, Optimal consumption and portfolio policies when asset prices follow a diffusion process, Journal of Economic Theory 39, 33-83, 1989. ◼ I. Karatzas, J. Lehoczky, and S Shreve, Optimal portfolio and consumption decisions for a small investor on a finite horizon, SIAM Journal on Control and Optimization, 25, 1557-1586, 1987. ◼ G. Constantinides, Habit Formation: A resolution of equity premium puzzle, Journal of Political Economy 98, 519-543, 1990. ◼ D. Duffie and L. Epstein, Stochastic differential utility, Econometrica, 60, 353-394, 1991