文档介绍：Asset Pricing
John H. Cochrane
June 12, 2000
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Acknowledgments
This book owes an enormous intellectual debt to Lars Hansen and Gene Fama. Most of the
ideas in the book developed from long discussions with each of them, and trying to make
sense of what each was saying in the language of the other. I am also grateful to all my col-
leagues in Finance and Economics at the University of Chicago, and to e Constantinides
especially, for many discussions about the ideas in this book. I thank e Constantinides,
Andrea Eisfeldt, Gene Fama, Wayne Ferson, Owen Lamont, Anthony Lynch, Dan Nelson,
Alberto Pozzolo, Michael Roberts, Juha Seppala, Mike Stutzer, Pietro Veronesi, an anony-
mous reviewer, and several generations of . students at the University of Chicago for
many ments. I thank the NSF and the Graduate School of Business for research
support.
Additional material and both substantive and typographical corrections will be maintained
at
/research/papers
Comments and suggestions are most e This book draft is copyright c John H.
Cochrane 1997, 1998, 1999, 2000 °
John H. Cochrane
Graduate School of Business
University of Chicago
1101 E. 58th St.
Chicago IL 60637
773 702 3059
john.******@
June 12, 2000
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Contents
Acknowledgments 2
Preface 8
Part I. Asset pricing theory 12
1 Consumption-based model and overview 13
Basic pricing equation 14
Marginal rate of substitution/stochastic discount factor 16
Prices, payoffs and notation 17
Classic issues in finance 20
Discount factors in continuous time 33
Problems 38
2 Applying the basic model 41
Assumptions and applicability 41
General Equilibrium 43
Consumption-based model in practice 47
Alternative asset pricing models: Overview 49
Problems 51
3 Contingent Claims Markets 54
Contingent claims 54
Risk neutral probabilities 55
Investors again 57
Risk sharing 59
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