关注Kerry E. Back 的Asset Pricing and Portfolio Choice Theory

10# Henryzhu

这么好的一个主题要顶一下，
希望不要被沉下去。
呵呵

Cochrane的书强在实证。最后两页就介绍完随机微积分，是因为他也不在乎你看得懂看不懂他前面连续时间的内容。

有人上传一本吗?

求该书。。。。啊 。。。求

enjoy4ever 发表于 2011-4-6 21:10
求该书。。。。啊 。。。求

再求该书.

Henryzhu 发表于 2011-4-20 13:40

enjoy4ever 发表于 2011-4-6 21:10
求该书。。。。啊 。。。求

再求该书.

那一起求一下吧。。唉。。。 求啊。。。好像2楼的看过了么， 他没有电子版吗？

4# financeblegen

强者， 您有电子版的吗？ 真的很想看这本书啊。。。 KERRY 的第一本已经看过了， 好期待第二本啊。。。希望能有电子版， 发给我下吧。。谢谢大哥了。。在此一拜

http://www.amazon.com/Portfolio- ... hesis/dp/0195380614

  Much better than Cochrane, May 3, 2011
By Finance PhD - See all my reviewsThis review is from: Asset Pricing and Portfolio Choice Theory (Financial Management Association Survey and Synthesis Series) (Hardcover)
I'm a PhD student in finance at a top 10 US business school and must say I completely disagree with yamie2005. I find Kerry's book to be very well written, and its organization is much more logical than Cochrane's. I have a background in math and stats, and find Kerry's writing style to be very clear and concise (as opposed to Cochrane). However, I can see why students with a less rigorous background may prefer Cochrane. Kerry doesn't cover the same topics as Cochrane: Cochrane covers asset pricing theory in Part I of his book (chap 1-9), empirical asset pricing in Part II (chap 10-16), bonds and options in Part III (chap 17-19) and finishes with an empirical survey in Part IV (chap 20-21). I do like Cochrane's chapters on empirical asset pricing a lot, but find his writing style for the theory parts to be lengthy and not rigorous enough. Kerry focuses only on asset pricing theory (including some chapters on continuous time), and does this in much more detail than Cochrane - the two books have roughly the same number of pages. For instance Kerry contains chapters on Epstein-Zin preferences, asymmetric information and other topics not found in Cochrane. However, to me the most important thing about Kerry's book is his clear, logical, and thorough coverage of standard topics in single-period and dynamic models (part I and II). Compared to Cochrane, Kerry is much clearer about e.g. HJ-bounds, representative investors, dynamic programming, and the ICAPM. Conclusion: Use Kerry for the theory and Cochrane for the empirics.

https://www2.bc.edu/~chapmadb/mf866.htm

Boston College

Carroll School of Management



MF 866: Ph.D. Seminar in Asset Pricing Theory



Spring 2011
Professor:  David Chapman

Monday: 12:15 –2:15
Fulton 326B

Location:  Fulton 210
Phone: (617) 552-3989

Office Hours: Monday 1:30 – 2:30
E-mail: david.chapman@bc.edu


Web: http://www2.bc.edu/~chapmadb




Course Description



This course provides a basic overview of the asset pricing literature. The topics covered include: absence of arbitrage in security markets, consumption-portfolio choice problems, and equilibrium pricing models. Discrete and continuous-time models will be examined.



Text



The required text for the class is: Kerry Back, 2010, Asset Pricing and Portfolio Choice Theory. Oxford University Press.



Additional texts that you might want to own (or consult) include:



[1]   Cochrane, John H., 2005, Asset Pricing (Revised Edition). Princeton: Princeton University Press.



[2]   Duffie, Darrell, 2003, Dynamic Asset Pricing Theory, 3rd Edition. Princeton: Princeton University Press.



[3]   Skiadis, Costis, 2009, Asset Pricing Theory. Princeton: Princeton University Press.



We will be solving dynamic portfolio choice problems and equilibrium pricing models using Matlab.





The current syllabus for the course can be accessed [here]. [Updated: 01-25-2011]

https://www2.bc.edu/~chapmadb/MF866S11.pdf

midi51 发表于 2011-5-12 04:09
https://www2.bc.edu/~chapmadb/mf866.htm

Boston College

Carroll School of Management



MF 866: Ph.D. Seminar in Asset Pricing Theory



Spring 2011
Professor:  David Chapman

Monday: 12:15 –2:15
Fulton 326B

Location:  Fulton 210
Phone: (617) 552-3989

Office Hours: Monday 1:30 – 2:30
E-mail: david.chapman@bc.edu


Web: http://www2.bc.edu/~chapmadb




Course Description



This course provides a basic overview of the asset pricing literature. The topics covered include: absence of arbitrage in security markets, consumption-portfolio choice problems, and equilibrium pricing models. Discrete and continuous-time models will be examined.



Text



The required text for the class is: Kerry Back, 2010, Asset Pricing and Portfolio Choice Theory. Oxford University Press.



Additional texts that you might want to own (or consult) include:



[1]   Cochrane, John H., 2005, Asset Pricing (Revised Edition). Princeton: Princeton University Press.



[2]   Duffie, Darrell, 2003, Dynamic Asset Pricing Theory, 3rd Edition. Princeton: Princeton University Press.



[3]   Skiadis, Costis, 2009, Asset Pricing Theory. Princeton: Princeton University Press.



We will be solving dynamic portfolio choice problems and equilibrium pricing models using Matlab.





The current syllabus for the course can be accessed [here]. [Updated: 01-25-2011]

https://www2.bc.edu/~chapmadb/MF866S11.pdf

非常感谢
如果有机会的话，
加一下msn可以吗？
afajof_fd@hotmail.com
非常感谢