Tom's Sept 7 bringing in new asset pricing lecture

Author: thomassargent30

lectures/AssetPricing_v1.jpg

@@ -5,6 +5,104 @@
 
 
 
+@Article{Chamberlain_Rothschild,
+  author={Chamberlain, Gary and Rothschild, Michael},
+  title={{Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets}},
+  journal={Econometrica},
+  year=1983,
+  volume={51},
+  number={5},
+  pages={1281-1304},
+  month={September},
+  keywords={},
+  doi={},
+  abstract={We examine the implications of arbitrage in a market with many assets. The absence of arbitrage opportunities implies that the linear functionals that give the mean and cost of a portfolio are continuous; hence there exist unique portfolios that represent these functionals. These portfolios span the mean-variance efficient set. We resolve the question of when a market with many assets permits so much diversification that risk-free investment opportunities are available. Ross 112, 141 showed that if there is a factor structure, then the mean returns are approximately linear functions of factor loadings. We define an approximate factor structure and show that this weaker restriction is sufficient for Ross' result. If the covariance matrix of the asset returns has only K unbounded eigenvalues, then there is an approximate factor structure and it is unique. The corresponding K eigenvectors converge and play the role of factor loadings. Hence only a principal component analysis is needed in empirical work.<br><small>(This abstract was borrowed from another version of this item.)</small>},
+  url={https://ideas.repec.org/a/ecm/emetrp/v51y1983i5p1281-304.html}
+}
+
+@Article{Ross_78,
+  author={Ross, Stephen A},
+  title={{A Simple Approach to the Valuation of Risky Streams}},
+  journal={The Journal of Business},
+  year=1978,
+  volume={51},
+  number={3},
+  pages={453-475},
+  month={July},
+  keywords={},
+  doi={10.1086/296008},
+  abstract={No abstract is available for this item.},
+  url={https://ideas.repec.org/a/ucp/jnlbus/v51y1978i3p453-75.html}
+}
+
+@Article{Ross_76,
+  author={Ross, Stephen A.},
+  title={{The arbitrage theory of capital asset pricing}},
+  journal={Journal of Economic Theory},
+  year=1976,
+  volume={13},
+  number={3},
+  pages={341-360},
+  month={December},
+  keywords={},
+  doi={},
+  abstract={The purpose of this paper is to examine rigorously the arbitrage model of capital asset pricing developed in Ross [13, 14]. The arbitrage model was proposed as an alternative to the mean variance capital asset pricing model, introduced by Sharpe, Lintner, and Treynor, that has become the major analytic tool for explaining phenomena observed in capital markets for risky assets. The principal relation that emerges from the mean variance model holds that for any asset, i, its (ex ante) expected return$E_i = p + \lamdba b_i, \kern+100pt (1)$where ρ is the riskless rate of interest, is the expected excess return on the market, Em − ρ, and$ b_i - \,\sigma _{im}^2 /\sigma _m^2 , $is the beta coefficient on the market, where σm2 is the variance of the market portfolio and $ \sigma _{im}^2 $ is the covariance between the returns on the ith asset and the market portfolio. (If a riskless asset does not exist, ρ is the zero-beta return, i.e., the return on all portfolios uncorrelated with the market portfolio)…<br><small>(This abstract was borrowed from another version of this item.)</small>},
+  url={https://ideas.repec.org/a/eee/jetheo/v13y1976i3p341-360.html}
+}
+
+@Article{Harrison_Kreps_JET_79,
+  author={Harrison, J. Michael and Kreps, David M.},
+  title={{Martingales and arbitrage in multiperiod securities markets}},
+  journal={Journal of Economic Theory},
+  year=1979,
+  volume={20},
+  number={3},
+  pages={381-408},
+  month={June},
+  keywords={},
+  doi={},
+  abstract={No abstract is available for this item.},
+  url={https://ideas.repec.org/a/eee/jetheo/v20y1979i3p381-408.html}
+}
+@Article{Kreps_81,
+  author={Kreps, David M.},
+  title={{Arbitrage and equilibrium in economies with infinitely many commodities}},
+  journal={Journal of Mathematical Economics},
+  year=1981,
+  volume={8},
+  number={1},
+  pages={15-35},
+  month={March},
+  keywords={},
+  doi={},
+  abstract={No abstract is available for this item.},
+  url={https://ideas.repec.org/a/eee/mateco/v8y1981i1p15-35.html}
+}
+
+@book{Cochrane_2005,
+ author = {John H. Cochrane},
+ title = {Asset Pricing: revised edition},
+ publisher = {Princeton University Press},
+ address = {Princeton, New Jersey},
+ year = {2005},
+ }
+
+ @Article{Hansen_Jagannathan_1991,
+  author={Hansen, Lars Peter and Jagannathan, Ravi},
+  title={{Implications of Security Market Data for Models of Dynamic Economies}},
+  journal={Journal of Political Economy},
+  year=1991,
+  volume={99},
+  number={2},
+  pages={225-262},
+  month={April},
+  keywords={},
+  doi={10.1086/261749},
+  abstract={ The authors show how to use security market data to restrict the admissible region for means and standard deviations of intertemporal marginal rates of substitution of consumers. Their approach (1) is nonparametric and applies to a rich class of models of dynamic economics; (2) characterizes the duality between the mean-standard deviation frontier for intertemporal marginal rates of substitution and the familiar mean-standard deviation frontier for asset returns; and (3) exploits the restriction that intertemporal marginal rates of substitution are positive random variables. The region provides a convenient summary of the sense in which asset market data are anomalous from the vantage point of intertemporal asset pricing theory. Copyright 1991 by University of Chicago Press.},
+  url={https://ideas.repec.org/a/ucp/jpolec/v99y1991i2p225-62.html}
+}
+
+
 @Article{lucas75,
  author ={Robert E. Lucas, Jr.},
  title ={An Equilibrium Model of the Business Cycle},

lectures/_static/quant-econ.bib

@@ -55,6 +55,7 @@ parts:
   numbered: true
   chapters:
   - file: lucas_model
+  - file: asset_pricing_lph
   - file: black_litterman
   - file: BCG_complete_mkts
   - file: BCG_incomplete_mkts