Capital Market Equilibria

Herausgegeben von Bamberg, Günter; Spremann, Klaus; Mitarbeit: Bamberg, G.; Brennan, M.; Firchau, V.; Geske, R.; Rudolph, B.; Schwartz, E.

• Broschiertes Buch

Produktbeschreibung

Both introductory surveys and results of individual research on a selection of six issues of modern finance form the content of this volume: The Hybrid Model and Related Approaches to Capital Market Equilibria Portfolio Decisions and Capital Market Equilibria under Incom plete Information (by Volker Firchau) Option Valuation: Theory and Empirical Evidence (by Robert Geske and Siegfried Trautmann) The Value of Security Agreements (by Bernd Rudolph) Asset Pricing in a Small Economy: A Test of the Omitted Assets Model (by Eduardo S. Schwartz and Michael J. Brennan) The Simple Analytics of Arbitrage. The main idea was to help students in their work and to provide material for seminars. The book originated from a cooperation between the authors coming from the USA, Canada, and West Germany. Support was granted by the Allianz Lebensversicherung Stuttgart, the Badenia Bausparkasse Karlsruhe, the Landeszentralbank in Baden-Wurttemberg, and the Stifterverband fUr die Deutsche Wirtschaft. Finally, we want to express our thanks to Birgit Emmrich for her help during the different stages of manuscript preparation, and, last but not least, to Werner A. Muller from the Springer-Verlag for the readiness to publish our volume.

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Produktdetails

• Verlag: Springer, Berlin
• Softcover reprint of the original 1st ed. 1986
• Seitenzahl: 240
• Erscheinungstermin: 17. November 2011
• Englisch
• Abmessung: 244mm x 170mm x 14mm
• Gewicht: 421g
• ISBN-13: 9783642709975
• ISBN-10: 3642709974
• Artikelnr.: 36115024

Autorenporträt

Prof. Dr. Dr. h.c. Günter Bamberg ist Inhaber des Lehrstuhls für Statistik der Universität Augsburg. Seine Arbeits- und Interessengebiete sind Statistik, Ökonometrie, Operations Research und Wirtschaftstheorie.

Inhaltsangabe

Prologue.- 1. Equilibrium versus Market Imperfections.- 2. Questions and Answers.- The Hybrid Model and Related Approaches to Capital Market Equilibria.- 1. Introduction.- 2. Portfolio Models Based on Different Sets of Parameters.- 3. Rationale of the Hybrid Model.- 4. Applications of the Hybrid Model.- 5. Appendix.- References.- Portfolio Decisions and Capital Market Equilibria Under Incomplete Information.- 1. Introduction.- 2. Risk Situation with Regard to the Prior Parameters: A Two-Level Bayes Approach.- 3. Risk Situation with Regard to the Prior Parameters: Lin's Approach.- 4. Partial Uncertainty with Regard to the Prior Parameters.- 5. Asset Pricing under Uncertainty.- References.- Option Valuation: Theory and Empirical Evidence.- 1. Introduction.- 2. Option Valuation Theory.- 3. Empirical Tests of Option Valuation.- 4. Appendix: Formulae for the Evaluation of European Calls.- References.- The Value of Security Agreements.- 1. A Survey of Credit Support Decision Models.- 2. Neoclassical Theory and Secured Debt.- 3. The Theory of Credit Support Decisions in the Light of the Economics of Information.- 4. A Scheme of Credit Contract Covenants.- 5. The Efficiency of Securing Debt.- 6. Appendix: Secured Debt and Uncertainty.- References.- Asset Pricing in a Small Economy: A Test of the Omitted Assets Model.- 1. Introduction.- 2. Portfolio Based Tests of Efficiency.- 3. Omitted Assets.- 4. The Data.- 5. Efficiency of the Canadian Market Index.- 6. Tests of the Omitted Assets Hypothesis.- Appendix: Iterative Maximum Likelihood Procedure.- References.- The Simple Analytics of Arbitrage.- 1. General Equilibrium, Modern Finance, and Arbitrage Theory.- 2. An Example, its Generalization, and the Question.- 3. Arbitrage versus Equilibrium.- 4. Derivative Contracts inComplete Capital Markets.- References.- About Contributors.- Author Index.