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Financial Asset Pricing Theory

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Financial Markets and Investment Strategies Stochastic processes and financial applications Economic theories and models

Abstract

Preface 1. Introduction and Overview 2. Uncertainty, Information, and Stochastic Processes 3. Portfolios, Arbitrage, and Market Completeness 4. State Prices 5. Preferences 6. Individual Optimality 7. Market Equilibrium 8. Basic Consumption-Based Asset Pricing 9. Advanced Consumption-Based Asset Pricing 10. Factor Models 11. The Economics of the Term Structure of Interest Rates 12. Risk-Adjusted Probabilities 13. Derivatives Appendix A. A Review of Basic Probability Concepts Appendix B. Results on the Lognormal Distribution Appendix C. Results from Linear Algebra

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1973The Pricing of Options and Corporate Liabilities 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*2019Theory of games and economic behavior 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1985A Theory of the Term Structure of Interest Rates 2005Theory of rational option pricing 1976The arbitrage theory of capital asset pricing 1975THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.]

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