Author | Barucci, Emilio. author |
---|---|
Title | Financial Markets Theory [electronic resource] : Equilibrium, Efficiency and Information / by Emilio Barucci |
Imprint | London : Springer London : Imprint: Springer, 2003 |
Connect to | http://dx.doi.org/10.1007/978-1-4471-0089-8 |
Descript | XII, 467 p. online resource |
1 Prerequisites -- 1.1 Choices under Certainty -- 1.2 General Equilibrium Theory -- 1.3 Pareto Optimality -- 2 Choices under Risk -- 2.1 Expected Utility Theory -- 2.2 Risk Aversion -- 2.3 Portfolio Problem -- 2.4 Insurance Demand and Prudence -- 2.5 Notes, References and Exercises -- 3 Stochastic Dominance, Mutual Funds Separation and Portfolio Frontier -- 3.1 Stochastic Dominance -- 3.2 Mean-Variance Analysis -- 3.3 Portfolio Frontier (risky assets) -- 3.4 Portfolio Frontier (risky assets and a risk free asset) -- 3.5 Mutual Funds Separation -- 3.6 Notes, References and Exercises -- 4 General Equilibrium Theory and Risk Exchange -- 4.1 Risk Sharing and Pareto Optimality -- 4.2 Asset Markets -- 4.3 Intertemporal Consumption -- 4.4 The Fundamental Asset Pricing Theorem I -- 4.5 Notes, References and Exercises -- 5 Risk Premium: Capital Asset Pricing Model and Asset Pricing Theory -- 5.1 Capital Asset Pricing Model (CAPM) -- 5.2 Empirical Tests of the CAPM -- 5.3 Arbitrage Pricing Theory (APT) -- 5.4 Empirical Tests of the APT -- 5.5 Notes, References and Exercises -- 6 Multiperiod Market Models -- 6.1 Portfolio Choice, Consumption and Equilibrium -- 6.2 The Fundamental Asset Pricing Theorem II -- 6.3 Risk Premium and Factor Models -- 6.4 The No Arbitrage Fundamental Equation and Bubbles -- 6.5 Empirical Tests: Price-Dividend Process -- 6.6 Empirical Tests: CCAPM, ICAPM and Risk Premium -- 6.7 Notes, References and Exercises -- 7 Information and Financial Markets -- 7.1 The Role of Information in Financial Markets -- 7.2 On the Possibility of Efficient Markets -- 7.3 On the Impossibility of Efficient Markets -- 7.4 Multiperiod Models -- 7.5 Empirical Analysis -- 7.6 Notes, References and Exercises -- 8 Uncertainty, Rationality and Heterogeneity -- 8.1 Uncertainty, Risk and Probability -- 8.2 On Expected Utility Theory -- 8.3 Heterogeneous Agents and Substantial Rationality -- 8.4 Bounded Rationality, Incomplete Information and Learning -- 8.5 Imperfect and Incomplete Markets -- 9 Financial Markets Microstructure -- 9.1 The Role of Information under non-Perfect Competition -- 9.2 Order Driven Markets -- 9.3 Quote Driven Markets -- 9.4 Multiperiod Market Models -- 10 Corporate Finance -- 10.1 Modigliani-Miller Theorem -- 10.2 Asymmetric Information -- 10.3 Agency Models -- 11 Intermediation and Regulation -- 11.1 Institutional Investors, Intermediation and Financial Markets -- 11.2 Market Design -- 11.3 Market Abuse: Insider Trading and Market Manipulation -- References