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Microfoundations of financial economics [electronic resource] : an introduction to general equilibrium asset pricing /
Yvan Lengwiler.
imprint
Princeton, N.J. ; Oxford : Princeton University Press, 2006.
description
xvi, 287 p. : ill.
ISBN
0691126313 (pbk.)
format(s)
Book
More Details
added author
imprint
Princeton, N.J. ; Oxford : Princeton University Press, 2006.
isbn
0691126313 (pbk.)
restrictions
Licensed for access by U. of T. users.
catalogue key
8843523
 
Includes bibliographical references and index.
A Look Inside
About the Author
Author Affiliation
Yvan Lengwiler is Professor of Economics at the University of Basel
Excerpts
Flap Copy
""Microfoundations of Financial Economics" is a wonderful book. In less than 300 pages of highly readable text, Yvan Lengwiler covers the basics of modern asset pricing theory. Students of advanced finance will want to use this book as an effective learning tool and reference. It's going to be a permanent part of my library."--Simon Benninga, Tel Aviv University and, Editor-in-Chief, "European Finance Review""A tour de force. Yvan Lengwiler's book provides a valuable structure around an area that professors struggle to cover in an integrated way."--Elroy Dimson, London Business School
Reviews
Review Quotes
"Microfoundations of Financial Economics" is a wonderful book. In less than 300 pages of highly readable text, Yvan Lengwiler covers the basics of modern asset pricing theory. Students of advanced finance will want to use this book as an effective learning tool and reference. It's going to be a permanent part of my library.
Microfoundations of Financial Economics is a wonderful book. In less than 300 pages of highly readable text, Yvan Lengwiler covers the basics of modern asset pricing theory. Students of advanced finance will want to use this book as an effective learning tool and reference. It's going to be a permanent part of my library.
" Microfoundations of Financial Economics is a wonderful book. In less than 300 pages of highly readable text, Yvan Lengwiler covers the basics of modern asset pricing theory. Students of advanced finance will want to use this book as an effective learning tool and reference. Its going to be a permanent part of my library."-- Simon Benninga, Tel Aviv University and , Editor-in-Chief, European Finance Review
Microfoundations of Financial Economics is a wonderful book. In less than 300 pages of highly readable text, Yvan Lengwiler covers the basics of modern asset pricing theory. Students of advanced finance will want to use this book as an effective learning tool and reference. It's going to be a permanent part of my library. -- Simon Benninga, Tel Aviv University and , Editor-in-Chief, European Finance Review
Microfoundations of Financial Economicsis a wonderful book. In less than 300 pages of highly readable text, Yvan Lengwiler covers the basics of modern asset pricing theory. Students of advanced finance will want to use this book as an effective learning tool and reference. It's going to be a permanent part of my library. -- Simon Benninga, Tel Aviv University and , Editor-in-Chief, European Finance Review
This book can be a great asset for Ph.D. students that are overwhelmed by asset pricing. . . . Lengwiler [has] produced a nice addition to recent publications that bridge the gap between undergraduate and advanced Ph.D. textbooks.
"This book can be a great asset for Ph.D. students that are overwhelmed by asset pricing. . . . Lengwiler [has] produced a nice addition to recent publications that bridge the gap between undergraduate and advanced Ph.D. textbooks."-- EconomicDynamics Newsletter
This book can be a great asset for Ph.D. students that are overwhelmed by asset pricing. . . . Lengwiler [has] produced a nice addition to recent publications that bridge the gap between undergraduate and advanced Ph.D. textbooks. -- EconomicDynamics Newsletter
A tour de force. Yvan Lengwiler's book provides a valuable structure around an area that professors struggle to cover in an integrated way.
To find out how to look for other reviews, please see our guides to finding book reviews in the Sciences or Social Sciences and Humanities.
Summaries
Back Cover Copy
"A tour de force. Yvan Lengwiler's book provides a valuable structure around an area that professors struggle to cover in an integrated way."--Elroy Dimson, London Business School, co-author of "Triumph of the Optimists"
Back Cover Copy
"A tour de force. Yvan Lengwiler's book provides a valuable structure around an area that professors struggle to cover in an integrated way."--Elroy Dimson, London Business School, co-author of Triumph of the Optimists
Back Cover Copy
"A tour de force. Yvan Lengwilers book provides a valuable structure around an area that professors struggle to cover in an integrated way."-- Elroy Dimson, London Business School, co-author of Triumph of the Optimists
Bowker Data Service Summary
The author explains modern asset pricing theory by starting from the fundamentals: endowments, preferences, and equilibrium. The conditions for aggression are studied in detail and the book covers very active fields of research as well, such as asset pricing with the heterogeneous agents for instance.
Main Description
This textbook takes the reader from the level of microeconomics principles through to modern asset pricing theory. Yvan Lengwiler elegantly links together issues that have in the past been the territory of general economic theorists on the one hand, and financial economists on the other. In a sequence of carefully explained steps, the reader learns how the first welfare theorem is used in asset pricing theory. The book then moves on to explore Radner economies and von Neumann-Morgenstern decision theory, and this section culminates in Wilson's mutuality principle and the consumption-based CAPM. This is then put into a dynamic setting, and term structure models are introduced. The empirical shortcomings of the standard asset pricing models are extensively discussed, as is research from the last twenty years aimed at bringing theory in line with reality. The reader is brought up to date on the latest areas of concern, such as habit formation, the consequences of heterogeneity, demographic effects, changing tax regimes, market frictions, and the implications of prospect theory for asset pricing. Aimed at masters or Ph.D. students specializing in financial economics, the book can also be used as a supplementary text for students of macroeconomics at this advanced level and will be of interest to finance professionals with a background in economics and mathematics. It includes problems (with solutions), and an accompanying website provides supporting material for lecturers.
Table of Contents
List of boxesp. xi
Prefacep. xiii
Introductionp. 1
What finance theory is aboutp. 1
Some history of thoughtp. 2
The importance of the puzzlesp. 7
Outline of the bookp. 9
Contingent claim economyp. 10
The commodity spacep. 10
Preferences and ordinal utilityp. 14
Maximizationp. 16
General equilibriump. 23
The representative agentp. 32
Notes on the literaturep. 35
Problemsp. 35
Asset economyp. 37
Financial assetsp. 37
Pricing by redundancyp. 41
Radner economiesp. 46
Complete markets (and uniqueness of Arrow prices)p. 53
Complications arising from market incompletenessp. 60
Notes on the literaturep. 65
Problemsp. 65
Risky decisionsp. 68
Bernoulli's St. Petersburg paradoxp. 69
Using more structure: probabilities and lotteriesp. 71
The von Neumann-Morgenstern representationp. 75
Measures of risk preferencep. 81
Assumptions and evidencep. 86
Often used specificationsp. 91
Notes on the literaturep. 99
Problemsp. 99
Static finance economyp. 102
An economy with von Neumann-Morgenstern agentsp. 102
Efficient risk-sharingp. 107
A representative NM agentp. 112
Who holds what kind of portfolio?p. 121
The stochastic discount factorp. 126
The equilibrium price of timep. 130
The equilibrium price of riskp. 132
Some important special casesp. 134
Notes on the literaturep. 138
Problemsp. 138
Dynamic finance economyp. 141
A static dynamic modelp. 141
Dynamic tradingp. 149
Models of the real interest ratep. 162
Portfolio selectionp. 168
Notes on the literaturep. 170
Problemsp. 170
Empirics and the puzzlesp. 172
Collecting the right datap. 172
The equity premium puzzlep. 176
Alternative interpretations of the datap. 184
Excessive volatilityp. 192
Anomaliesp. 197
Notes on the literaturep. 198
Adapting the theoryp. 199
Assumptions of the mainstream modelp. 199
Non-standard preferencesp. 201
Heterogeneityp. 214
Efficiency failurep. 225
Notes on the literaturep. 238
Epilogp. 239
A mysteryp. 240
A challengep. 241
The party's overp. 242
Symbols and notationp. 245
Solutions to the problem setsp. 247
Bibliographyp. 269
Indexp. 285
Table of Contents provided by Ingram. All Rights Reserved.

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