All Chapters Included
SOLUTIONS MANUAL
, Solutions Manual Asset Pricing and Portfolio Choice
Theory By Kerry Back
Table Of Contents
Part I Single-Period Models
1 Utility Functions and Risk Aversion Coefficients........................................... 3
2 Portfolio Choice and Stochastic Discount Factors......................................... 15
3 Equilibrium and Efficiency............................................................................................... 25
4 Arbitrage and Stochastic Discount Factors........................................................ 35
5 Mean-Variance Analysis...................................................................................................... 41
6 Beta Pricing Models............................................................................................................ 49
7 Representative Investors..................................................................................................... 59
Part II Dynamic Models
8 Dynamic Securities Markets........................................................................................... 69
9 Portfolio Choice by Dynamic Programming.......................................................77
10 Conditional Beta Pricing Models................................................................................ 89
11 Some Dynamic Equilibrium Models.......................................................................... 91
12 Brownian Motion and Stochastic Calculus............................................................95
13 Continuous-Time Securities Markets and SDF Processes..................... 111
,4 Contents
14 Continuous-Time Portfolio Choice and Beta Pricing.................................. 127
Part III Derivative Securities
15 Option Pricing..........................................................................................................................145
16 Forwards, Futures, and More Option Pricing................................................... 159
17 Term Structure Models.................................................................................................... 175
Part IV Topics
18 Heterogeneous Priors.......................................................................................................... 197
19 Asymmetric Information................................................................................................. 203
20 Alternative Preferences in Single-Period Models......................................... 209
21 Alternative Preferences in Dynamic Models..................................................... 215
22 Production Models................................................................................................................ 225
, Part I
Single-Period
Models
SOLUTIONS MANUAL
, Solutions Manual Asset Pricing and Portfolio Choice
Theory By Kerry Back
Table Of Contents
Part I Single-Period Models
1 Utility Functions and Risk Aversion Coefficients........................................... 3
2 Portfolio Choice and Stochastic Discount Factors......................................... 15
3 Equilibrium and Efficiency............................................................................................... 25
4 Arbitrage and Stochastic Discount Factors........................................................ 35
5 Mean-Variance Analysis...................................................................................................... 41
6 Beta Pricing Models............................................................................................................ 49
7 Representative Investors..................................................................................................... 59
Part II Dynamic Models
8 Dynamic Securities Markets........................................................................................... 69
9 Portfolio Choice by Dynamic Programming.......................................................77
10 Conditional Beta Pricing Models................................................................................ 89
11 Some Dynamic Equilibrium Models.......................................................................... 91
12 Brownian Motion and Stochastic Calculus............................................................95
13 Continuous-Time Securities Markets and SDF Processes..................... 111
,4 Contents
14 Continuous-Time Portfolio Choice and Beta Pricing.................................. 127
Part III Derivative Securities
15 Option Pricing..........................................................................................................................145
16 Forwards, Futures, and More Option Pricing................................................... 159
17 Term Structure Models.................................................................................................... 175
Part IV Topics
18 Heterogeneous Priors.......................................................................................................... 197
19 Asymmetric Information................................................................................................. 203
20 Alternative Preferences in Single-Period Models......................................... 209
21 Alternative Preferences in Dynamic Models..................................................... 215
22 Production Models................................................................................................................ 225
, Part I
Single-Period
Models
