文档介绍：Theory of Financial
Decision Making
Jonathan E. Ingersoll, Jr.
Yale University
Preface
In the past twenty years the quantity of new and exciting research in finance has been large,
and a sizable body of basic material now lies at the core of our area of study. It is the purpose
of this book to present this core in a systematic and thorough fashion. The notes for this
book have been the primary text for various doctoral-level courses in financial theory that I
have taught over the past eight years at the University of Chicago and Yale University. In
all the courses these notes have been supplemented with readings selected from journals.
Reading original journal articles is an integral part of learning an academic field, since it
serves to introduce the students to the ongoing process of research, including its mis-steps
and controversies. In my opinion any program of study would be amiss not to convey this
continuing growth.
This book is structured in four parts. The first part, Chapters 1-3, provides an intro-
duction to utility theory, arbitrage, portfolio formation, and efficient markets. Chapter 1
provides some necessary background in microeconomics. Consumer choice is reviewed,
and expected utility maximization is introduced. Risk aversion and its measurement are
also covered.
Chapter 2 introduces the concept of arbitrage. The absence of arbitrage is one of the
most convincing and, therefore, farthest-reaching arguments made in financial economics.
Arbitrage reasoning is the basis for the arbitrage pricing theory, one of the leading models
purporting to explain the cross-sectional difference in asset returns, Perhaps more impor-
tant, the absence of arbitrage is the key in the development of the Black-Scholes option
pricing model and its various derivatives, which have been used to value a wide variety of
claims both in theory and in practice.
Chapter 3 begins the study of single-period portfolio problems. It also introduces the
stude