Asset Pricing Theory is an advanced textbook for doctoral students and
researchers that offers a modern introduction to the theoretical and
methodological foundations of competitive asset pricing. Costis Skiadas
develops in depth the fundamentals of arbitrage pricing, mean-variance
analysis, equilibrium pricing, and optimal consumption/portfolio choice
in discrete settings, but with emphasis on geometric and martingale
methods that facilitate an effortless transition to the more advanced
continuous-time theory.
Among the book's many innovations are its use of recursive utility as
the benchmark representation of dynamic preferences, and an associated
theory of equilibrium pricing and optimal portfolio choice that goes
beyond the existing literature.
Asset Pricing Theory is complete with extensive exercises at the end
of every chapter and comprehensive mathematical appendixes, making this
book a self-contained resource for graduate students and academic
researchers, as well as mathematically sophisticated practitioners
seeking a deeper understanding of concepts and methods on which
practical models are built.
- Covers in depth the modern theoretical foundations of competitive
asset pricing and consumption/portfolio choice
- Uses recursive utility as the benchmark preference representation in
dynamic settings
- Sets the foundations for advanced modeling using geometric arguments
and martingale methodology
- Features self-contained mathematical appendixes
- Includes extensive end-of-chapter exercises
