文档介绍：Asset Pricing
John H. Cochrane
June 6, 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 6, 2000
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Contents
Acknowledgments 2
Preface 4
Part I. Asset pricing theory 8
1 Consumption-based model and overview 9
Basic pricing equation 10
Marginal rate of substitution/stochastic discount factor 12
Prices, payoffs and notation 13
Classic issues in finance 16
Discount factors in continuous time 29
Problems 34
2 Applying the basic model 37
Assumptions and applicability 37
General Equilibrium 39
Consumption-based model in practice 43
Alternative asset pricing models: Overview 45
Problems 47
3 Contingent Claims Markets 50
Contingent claims 50
Risk neutral probabilities 51
Investors again 53
Risk sharing 55
S