Utility Theory

Ser-Huang Poon

Chapter 1 in Advanced Finance Theories, 2018, pp 1-4 from World Scientific Publishing Co. Pte. Ltd.

Abstract: This chapter derives asset prices in a one-period model. We derive a version of the Capital Asset Pricing Model (CAPM) using a complete market, state-contingent claims approach. We define the forward pricing kernel and then use the assumption of joint normality of the cash flows and Stein’s lemma to establish the CAPM. We then derive the pricing kernel in an equilibrium representative investor model. But first, we need to understand a few properties of utility function…

Keywords: Intertemporal Portfolio Selection; Capital Structure; General Equilibrium; Spanning; Mutual Fund Theorem; Jumps; Incomplete Markets (search for similar items in EconPapers)
JEL-codes: G30 (search for similar items in EconPapers)
Date: 2018
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.worldscientific.com/doi/pdf/10.1142/9789814460385_0001 (application/pdf)
https://www.worldscientific.com/doi/abs/10.1142/9789814460385_0001 (text/html)
Ebook Access is available upon purchase.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:wschap:9789814460385_0001

Ordering information: This item can be ordered from

Access Statistics for this chapter

More chapters in World Scientific Book Chapters from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().