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Title :Microfoundations of Financial Economics: An Introduction to General Equilibrium Asset Pricing
IT IS A PART OF THE PRINCETON SERIES IN FINANCE
Author: Yvan Lengwiler
SERIES EDITORS
Darrell Duffie
Stanford University
Stephen Schaefer
London Business School
Princeton University Press
Princeton and Oxford
2004 by Princeton University Press
Preface xiii
1 Introduction 1
1.1 What finance theory is about 1
1.2 Some history of thought 2
1.3 The importance of the puzzles 7
1.4 Outline of the book 9
2 Contingent claim economy 10
2.1 The commodity space 10
2.2 Preferences and ordinal utility 14
2.3 Maximization 16
2.4 General equilibrium 23
2.5 The representative agent 32
Notes on the literature 35
Problems 35
3 Asset economy 37
3.1 Financial assets 37
3.2 Pricing by redundancy 41
3.3 Radner economies 46
3.4 Complete markets (and uniqueness of Arrow prices) 53
3.5 Complications arising from market incompleteness 60
Notes on the literature 65
Problems 65
4 Risky decisions 68
5 Static finance economy 102
6 Dynamic finance economy 141
7 Empirics and the puzzles 172
8 Adapting the theory 199
9 Epilog 239
Appendix A Symbols and notation 245
Appendix B Solutions to the problem sets 247
Bibliography 269
Index 285
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