tailieunhanh - principles of financial economics leroy and werne phần 1

Hộ gia đình phải đối mặt với nhiều quyết định. Nó phải quyết định mà các thành viên trong gia đình làm những nhiệm vụ và những gì mỗi thành viên được trở lại: Ai nấu ăn bữa tối? Ai giặt? Ai được thêm món tráng miệng trong bữa ăn? Những người được chọn những gì chương trình truyền hình để xem? | Principles of Financial Economics Stephen F. LeRoy University of California Santa Barbara and Jan Werner University of Minnesota @ March 10 2000 Stephen F. LeRoy and Jan Werner Contents I Equilibrium and Arbitrage 1 1 Equilibrium in Security Markets 3 Introduction. 3 Security Markets. 3 Agents . 5 Consumption and Portfolio Choice. 6 First-Order Conditions. 6 Left and Right Inverses of X . 7 General Equilibrium. 8 Existence and Uniqueness of Equilibrium . 8 Representative Agent Models. 9 2 Linear Pricing 13 Introduction . 13 The Law of One Price . 13 The Payo Pricing Functional . 13 Linear Equilibrium Pricing . 14 State Prices in Complete Markets . 15 Recasting the Optimization Problem . 16 3 Arbitrage and Positive Pricing 21 Introduction . 21 Arbitrage and Strong Arbitrage . 21 A Diagrammatic Representation . 22 Positivity of the Payo Pricing Functional . 22 Positive State Prices . 23 Arbitrage and Optimal Portfolios . 23 Positive Equilibrium Pricing . 25 4 Portfolio Restrictions 29 Introduction. 29 Short Sales Restrictions . 29 Portfolio Choice under Short Sales Restrictions. 30 The Law of One Price. 31 Limited and Unlimited Arbitrage . 32 Diagrammatic Representation. 32 Bid-Ask Spreads . 33 Bid-Ask Spreads in Equilibrium . 33 i ii CONTENTS II Valuation 39 5 Valuation 41 Introduction. 41 The Fundamental Theorem of Finance . 41 Bounds on the Values of Contingent Claims. 42 The Extension . 45 Uniqueness of the Valuation Functional . 46 6 State Prices and Risk-Neutral Probabilities 51 Introduction . 51 State Prices . 51 Farkas-Stiemke Lemma. 53 Diagrammatic Representation. 54 State Prices and Value Bounds. 54 Risk-Free Payoffs. 55 Risk-Neutral Probabilities . 55 7 Valuation under Portfolio Restrictions 61 Introduction . 61 Payoff Pricing under Short Sales Restrictions. 61 State Prices under