某国际知名管理咨询公司内部教案=====风险和时间经济学

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The Economics of Risk and Time
Christian Gollier
GREMAQ and IDEI, University of Toulouse
May 27, 1999
2
Contents
I General theory 11
1 The expected utility model 13
2 Some basic tools 23
3 Risk aversion 43
4 Change in risk 65
II The standard portfolio problem 79
5 The standard portfolio problem 81
6 The equilibrium price of risk 95
III Multiple risks 103
7 Risk aversion with background risk 105
8 The tempering effect of background risk 115
9 Taking multiple risks 131
10 Horizon length and portfolio risk 143
11 Special topics in dynamic finance 163
3
4 CONTENTS
IV The complete market model 181
12 The demand for contingent claims 183
13 Properties of the optimal behavior with complete markets 191
V Consumption and saving 199
14 Consumption under certainty 201
15 Precautionary saving and prudence 217
16 The equilibrium price of time 233
17 The liquidity constraint 253
18 The saving-portfolio problem 265
19 Disentangling risk and time 277
VI Equilibrium prices of risk and time 285
20 Efficient risk sharing 287
21 The equilibrium price of risk and time 299
22 Searching for the representative agent 313
VII Risk and information 325
23 The value of information 327
24 Bibliography 355

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关键词：风险和时间经济学 管理咨询公司 时间经济学 咨询公司 时间经济 University background expected multiple standard

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