SOLUTION MANUAL
All Chapters Included
, Solutions Manual:
Asset Pricing and
Portfolio Choice Theory
Kerry Back
,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
All Chapters Included
, Solutions Manual:
Asset Pricing and
Portfolio Choice Theory
Kerry Back
,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
