000 | 02285cam a22003614a 4500 | ||
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001 | 13601299 | ||
003 | IIITD | ||
005 | 20170426122213.0 | ||
008 | 040521s2005 njua b 001 0 eng | ||
010 | _a 2004050561 | ||
015 |
_aGBA483851 _2bnb |
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016 | 7 |
_a013045905 _2Uk |
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020 | _a9788122431247 | ||
035 | _a(OCoLC)ocm55518499 | ||
040 |
_aDLC _cDLC _dYDX _dUKM _dXMA _dIXA _dBAKER _dDLC |
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042 | _apcc | ||
050 | 0 | 0 |
_aHG4636 _b.C56 2005 |
082 | 0 | 0 |
_a332.6 _222 _bCOC-A |
100 | 1 | _aCochrane, John H. | |
245 | 1 | 0 |
_aAsset pricing _cJohn H. Cochrane. |
250 | _aRev. ed. | ||
260 |
_aPrinceton, N.J. : _bPrinceton University Press, _c©2010. |
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300 |
_axvii, 533 p. : _bill. ; _c24 cm. |
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504 | _aIncludes bibliographical references (p. 497-511) and indexes. | ||
505 | 0 | _aConsumption-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 | |
650 | 0 | _aCapital assets pricing model. | |
650 | 0 | _aSecurities. | |
856 | 4 | 2 |
_3Publisher description _uhttp://www.loc.gov/catdir/description/prin051/2004050561.html |
856 | 4 | 2 |
_3Contributor biographical information _uhttp://www.loc.gov/catdir/enhancements/fy0734/2004050561-b.html |
906 |
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