The starting point for any analysis in finance involves
assigning a cur-rent price tO a future strearfi of uncertain
payoffs．This iS the basic notionbehind any asset．pricing model．Take
for example，the price of a sharetO a competitive firm．Since the
share entitles the owner to claims for the future profits of the
firm．a central problem iS tO assign a value to thesefuture
profits．Take another asset-a house．This provides housing ser-vices
in all states of nature and at all dates．Consequently，the value of
thehouse today must reflect the value of these future
services。Other examplesinclude the pricing of durable goods or
investment projects based on theirfuture expected marginal
products.One approach tO monetary economicsalso follows this basic
principle-if money as an asset has value in equilib，rium（in the
absence of any legal restrictions），then this value must reflectthe
stream of services provided by this asset．
Our approach is tO derive pricing relationships for different
assets byspecilying the economic environment at the outset.OHe of
the earliestexamples of this approach is Merton〔342〕．However，Merton
does notrelate the technological sources of uncertainty tO the
equilibrium prices ofthe riskv assets．AIternatively，he assumes a
given stochastic process for thereturns of different types of
assets and then prices them given assumptionsabout consumer
preferences．Consequently，the supply side is not explic.itly
considered by Merton．The asset-pricing model of Lucas〔317〕is
fullygeneral equilibrium but it iS an endowment economy，SO that
consumptionand investment decisions are trivial．Brock〔76〕develops
an asset．pricingmodel with both the demand and supply side fully
specified and links itup tO Ross‘s〔369〕arbitrage pricing
model．
In this book，we will start from an explicit economic environment
anddeduce the implications for asset prices，and the form of the
asset-pricingfulnction from the equilibrium in these
environments．To study the prob-lem of asset pricing，we COUId also
follow another approach：we couldtake a very general and abstract
approach，Vmwlng asset pricing as thevaluation of a future stream of
uncertain payoffs from the asset accord．mg tO a general pricing
function．（Aiven a minimal set ot assumpnonsabout the set of
payoffs，we could try tO characterize the properties ofthis abstract
pricing function．
目錄：
List of figures
List of tables
Preface
I BASIC CONCEPTS
1 Complete contingent claims
2 Arbtrage and asset vauation
3 Expected utility
4 CAPM and APT
5 Consumption and saving
II RECURsIVE MODELS
6 Dynamic programming
7 Intertemporal risk sharing
8 Consumption and aSSet pricing
9 Non-separable preferences
10 Economies with production
11 Investment
12 Business cycles
III MONETARY AND INTERNATl0NAL MODEL5
13 Models with cash-in-advance constraints
14 International asset markets
IV MOQELS WITH MARKET INCOMPLETENESS
15 Asset}3ricing with frictions
16 Borrowina constraints
17 Overlapping generations models
V SUPPLEMENTARYRY MATERIAL
A Mathematical appendix
A．1 Stochastic processes
A．2 Some useful theorems
Bibliography
Index
內容試閱：
C H A P T E R I Complete contingent claims
In competitive asset markets，consumers make intertemporal choices
in anuncertain environment。Their attitudes toward risk，production
opportu-nities，and the nature of trades that they can enter into
determine equilib-rium quantities and the prices of assets that are
traded．The intertemporalchoice problem of a consumer in an
uncertain environment yields restric-tions for the behavior of
individual consumption over time as well asdetermining the form of
the asset-pricing function used tO price randompayoffs．
We begin by describing the simplest setup in which consumer
choicesare made and asset prices are determined，namely，a complete
contingentclaims equilibrium for a pure endowment economy．In such
an equilib．rium．a consumer can trade claims tO contracts with
payoffs that dependon the state of the world，for all possible
states．As a precursor of the mate-rial tO follow，we discuss the
relationship of the complete contingent claimsequilibrium tO
security market equilibrium and describe its implicationsfor asset
pricing．
The complete contingent claims equilibrium can also be used tO
deriverestrictions for the behavior of consumption allocations。In
this context，we discuss the relationship between the contingent
claims equilibriumand Pareto optimality，and show the existence of
a“representative con-sumer”that can be constructed by exploiting
the Pareto optimality of thecontingent claims equilibrium．Some
conclusions follow．
I．I． A ONE-PERIOD MODEL
We initially consider economies with one date and a finite number
ofstates．To understand the nature of the trades that take place in
a corn．plete contingent claims equilibrium，imagine that all agents
get together attime 0 tO write contracts that pay off contingent on
some state occurringnext period．The realization of the states is
not known at the time the con-tracts are written，although agents
know the probabilities and the set of allpossible states。Once the
contracts are signed，the realization of the state iSobserved by all
agents，and the relevant state-dependent trade is carried OUt．
……
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