Principles of Financial Economics

Stephen F. LeRoy; Jan Werner; Stephen A. Ross

doi:10.1017/CBO9780511753787

Financial economics, and the calculations of time and uncertainty derived from it, are playing an increasingly important role in non-finance areas, such as monetary and environmental economics. In this 2001 book, Professors Le Roy and Werner supply a rigorous yet accessible graduate-level introduction to this subfield of microeconomic theory and general equilibrium theory. Since students often find the link between financial economics and equilibrium theory hard to grasp, they devote less attention to purely financial topics such as calculation of derivatives, while aiming to make the connection explicit and clear in each stage of the exposition. Emphasis is placed on detailed study of two-date models, because almost all of the key ideas in financial economics can be developed in the two-date setting. In addition to rigorous analysis, substantial sections of discussion and examples are included to make the ideas readily understandable.

‘This is an excellent introduction to the exciting field of financial economics, rigorous yet filled with economic intuition, and with a refreshing emphasis on equilibrium that is reminiscent of Debreu’s elegant and pithy monograph.’

Andrew Lo - Massachusetts Institute of Technology

- Aa Reduce text
- Aa Enlarge text

View selected items
Save to my bookmarks
Export citations
Download PDF (zip)
Save to Kindle
Save to Dropbox
Save to Google Drive
Save content to
To save content items to your account, please confirm that you agree to abide by our usage policies. If this is the first time you use this feature, you will be asked to authorise Cambridge Core to connect with your account. Find out more about saving content to .

To save content items to your Kindle, first ensure no-reply@cambridge.org is added to your Approved Personal Document E-mail List under your Personal Document Settings on the Manage Your Content and Devices page of your Amazon account. Then enter the ‘name’ part of your Kindle email address below. Find out more about saving to your Kindle.

Note you can select to save to either the @free.kindle.com or @kindle.com variations. ‘@free.kindle.com’ emails are free but can only be saved to your device when it is connected to wi-fi. ‘@kindle.com’ emails can be delivered even when you are not connected to wi-fi, but note that service fees apply.

Find out more about the Kindle Personal Document Service.

Please be advised that item(s) you selected are not available.
You are about to save
Your Kindle email address

Please provide your Kindle email.

@free.kindle.com @kindle.com (service fees apply)

By using this service, you agree that you will only keep content for personal use, and will not openly distribute them via Dropbox, Google Drive or other file sharing services

Page 1 of 2

First
« Prev
1
2
Next »
Last

Contents

Frontmatter
pp i-iv
- - You have access
- PDF
- Export citation

Contents
pp v-xii
- - You have access
- PDF
- Export citation

Foreword
pp xiii-xiv
- - You have access
- PDF
- Export citation

Preface
pp xv-xx
- - You have access
- PDF
- Export citation

Part One - Equilibrium and Arbitrage
pp 1-2
- - You have access
- PDF
- Export citation

1 - Equilibrium in Security Markets
pp 3-14
- - You have access
- PDF
- Export citation

2 - Linear Pricing
pp 15-21
- - You have access
- PDF
- Export citation

3 - Arbitrage and Positive Pricing
pp 22-32
- - You have access
- PDF
- Export citation

4 - Portfolio Restrictions
pp 33-44
- - You have access
- PDF
- Export citation

Part Two - Valuation
pp 45-46
- - You have access
- PDF
- Export citation

5 - Valuation
pp 47-55
- - You have access
- PDF
- Export citation

6 - State Prices and Risk-Neutral Probabilities
pp 56-64
- - You have access
- PDF
- Export citation

7 - Valuation under Portfolio Restrictions
pp 65-74
- - You have access
- PDF
- Export citation

Part Three - Risk
pp 75-76
- - You have access
- PDF
- Export citation

8 - Expected Utility
pp 77-86
- - You have access
- PDF
- Export citation

9 - Risk Aversion
pp 87-98
- - You have access
- PDF
- Export citation

10 - Risk
pp 99-108
- - You have access
- PDF
- Export citation

Part Four - Optimal Portfolios
pp 109-110
- - You have access
- PDF
- Export citation

11 - Optimal Portfolios with One Risky Security
pp 111-117
- - You have access
- PDF
- Export citation

12 - Comparative Statics of Optimal Portfolios
pp 118-127
- - You have access
- PDF
- Export citation

13 - Optimal Portfolios with Several Risky Securities
pp 128-138
- - You have access
- PDF
- Export citation

Part Five - Equilibrium Prices and Allocations
pp 139-140
- - You have access
- PDF
- Export citation

14 - Consumption-Based Security Pricing
pp 141-146
- - You have access
- PDF
- Export citation

15 - Complete Markets and Pareto-Optimal Allocations of Risk
pp 147-156
- - You have access
- PDF
- Export citation

16 - Optimality in Incomplete Security Markets
pp 157-168
- - You have access
- PDF
- Export citation

Part Six - Mean-Variance Analysis
pp 169-170
- - You have access
- PDF
- Export citation

17 - The Expectations and Pricing Kernels
pp 171-182
- - You have access
- PDF
- Export citation

18 - The Mean-Variance Frontier Payoffs
pp 183-193
- - You have access
- PDF
- Export citation

19 - Capital Asset Pricing Model
pp 194-203
- - You have access
- PDF
- Export citation

20 - Factor Pricing
pp 204-216
- - You have access
- PDF
- Export citation

Page 1 of 2

First
« Prev
1
2
Next »
Last

Metrics

Total number of HTML views: 0

Total number of PDF views: 0 *

Loading metrics...

Total views: 0 *

Loading metrics...

* Views captured on Cambridge Core between #date#. This data will be updated every 24 hours.

Usage data cannot currently be displayed.

Why this information is here

This section outlines the accessibility features of this content - including support for screen readers, full keyboard navigation and high-contrast display options. This may not be relevant for you.

Accessibility Information

Accessibility compliance for the PDF of this book is currently unknown and may be updated in the future.

Principles of Financial Economics

Book description

Reviews

Refine List

Actions for selected content:

Save Search

Contents

Metrics

Full text views

Book summary page views

Accessibility standard: Unknown

Why this information is here

Accessibility Information