Financial Economics : A Concise Introduction to Classical and Behavioral Finance
Thorsten. Hens
Bok Engelsk 2010 · Electronic books.
| Utgitt | Berlin/Heidelberg : : Springer Berlin Heidelberg, , 2010.
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| Omfang | 1 online resource (375 p.)
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| Opplysninger | Description based upon print version of record.. - ""Financial Economics ""; ""Preface ""; ""Contents ""; ""Part I Foundations""; ""1 Introduction""; ""1.1 An Introduction to This Book""; ""1.2 An Introduction to Financial Economics""; ""1.2.1 Trade and Valuation in Financial Markets""; ""1.2.2 No Arbitrage and No Excess Returns""; ""1.2.3 Market Efficiency""; ""1.2.4 Equilibrium""; ""1.2.5 Aggregation and Comparative Statics""; ""1.2.6 Time Scale of Investment Decisions""; ""1.2.7 Behavioral Finance""; ""1.3 An Introduction to the Research Methods""; ""2 Decision Theory""; ""2.1 Fundamental Concepts""; ""2.2 Expected Utility Theory"". - ""2.2.1 Origins of Expected Utility Theory""""2.2.2 Axiomatic Definition""; ""2.2.3 Which Utility Functions are ``Suitable''?""; ""2.2.4 Measuring the Utility Function""; ""2.3 Mean-Variance Theory""; ""2.3.1 Definition and Fundamental Properties""; ""2.3.2 Success and Limitation""; ""2.4 Prospect Theory""; ""2.4.1 Origins of Behavioral Decision Theory""; ""2.4.2 Original Prospect Theory""; ""2.4.3 Cumulative Prospect Theory""; ""2.4.4 Choice of Value and Weighting Function""; ""2.4.5 Continuity in Decision Theories""; ""2.4.6 Other Extensions of Prospect Theory"". - ""2.5 Connecting EUT, Mean-Variance Theory and PT""""2.6 Ambiguity and Uncertainty""; ""2.7 Time Discounting""; ""2.8 Summary""; ""2.9 Tests and Exercises""; ""2.9.1 Tests""; ""2.9.2 Exercises""; ""Part II Financial Markets""; ""3 Two-Period Model: Mean-Variance Approach""; ""3.1 Geometric Intuition for the CAPM""; ""3.1.1 Diversification""; ""3.1.2 Efficient Frontier""; ""3.1.3 Optimal Portfolio of Risky Assets with a Riskless Security""; ""3.1.4 Mathematical Analysis of the Minimum-Variance Opportunity Set""; ""3.1.5 Two-Fund Separation Theorem""; ""3.1.6 Computing the Tangent Portfolio"". - ""3.2 Market Equilibrium""""3.2.1 Capital Asset Pricing Model""; ""3.2.2 Application: Market Neutral Strategies""; ""3.2.3 Empirical Validity of the CAPM""; ""3.3 Heterogeneous Beliefs and the Alpha""; ""3.3.1 Definition of the Alpha""; ""3.3.2 CAPM with Heterogeneous Beliefs""; ""3.3.3 Zero Sum Game""; ""3.3.4 Active or Passive?""; ""3.4 Alternative Betas and Higher Moment Betas""; ""3.4.1 Alternative Betas""; ""3.4.2 Higher Moment Betas""; ""3.4.3 Deriving a Behavioral CAPM""; ""3.5 Summary""; ""3.6 Tests and Exercises""; ""3.6.1 Tests""; ""3.6.2 Exercises"". - ""4 Two-Period Model: State-Preference Approach""""4.1 Basic Two-Period Model""; ""4.1.1 Asset Classes""; ""4.1.2 Returns""; ""4.1.3 Investors""; ""4.1.4 Complete and Incomplete Markets""; ""4.1.5 What Do Agents Trade?""; ""4.2 No-Arbitrage Condition""; ""4.2.1 Introduction""; ""4.2.2 Fundamental Theorem of Asset Prices""; ""4.2.3 Pricing of Derivatives""; ""4.2.4 Limits to Arbitrage""; ""3Com and Palm""; ""Volkswagen and Porsche""; ""Closed-End Funds""; ""LTCM""; ""No-Arbitrage with Short-Sales Constraints""; ""4.3 Financial Markets Equilibria""; ""4.3.1 General Risk-Return Tradeoff"". - ""4.3.2 Consumption Based CAPM"". - Financial economics is a fascinating topic where ideas from economics, mathematics and, most recently, psychology are combined to understand financial markets. This book gives a concise introduction into this field and includes for the first time recent results from behavioral finance that help to understand many puzzles in traditional finance. The book is tailor made for master and PhD students and includes tests and exercises that enable the students to keep track of their progress. Parts of the book can also be used on a bachelor level. Researchers will find it particularly useful as a source for recent results in behavioral finance and decision theory. "By mixing rigour and humour, Hens and Rieger make learning financial economics fun. The book is nicely organized into three logical parts. Most importantly, the discussion features a smooth transition from the classical approach to the behavioural approach, helping students fill in the metaphorical jig saw puzzle representing the corpus of finance theory." Hersh Shefrin, finance professor at the Santa Clara University, USA, and author of "Beyond Greed and Fear" and "A Behavioral Approach to Asset Pricing Theory This textbook provides a modern treatment of the theory of financial economics. It stands out by fully integrating the classical and the behavioral approach in a lucent, yet rigorous way. I highly recommend it! Markus K. Brunnermeier, Princeton University Behavioral economics, decision theory and the equilibrium analysis of financial markets have largely evolved as separate parts of the landscape of modern economics: in this ambitious book the authors present a common framework for uniting these separate subfields. “Financial Economics” by Hens and Rieger is a delight to read, striking for its clarity, for the breadth of topics covered and for the wealth of well-chosen examples that illustrate the key ideas. Michael Magill Martine Quinzii University of Southern California University of California, Davis.
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| ISBN | 9783540361466
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