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Sinopse
The discount factor framework also leads to a state-space geometry for mean-variance frontiers and asset pricing models. It puts payoffs in different states of nature on the axes rather than mean and variance of return, leading to a new and conveniently linear geometrical representation of asset pricing ideas.
Cochrane approaches empirical work with the Generalized Method of Moments, which studies sample average prices and discounted payoffs to determine whether price does equal expected discounted payoff. He translates between the discount factor, GMM, and state-space language and the beta, mean-variance, and regression language common in empirical work and earlier theory.
The book also includes a review of recent empirical work on return predictability, valueand other puzzles in the cross section, and equity premium puzzles and their resolution. Written to be a summary for academics and professionals as well as a textbook, this book condenses and advances recent scholarship in financial economics.
Ficha técnica
Especificações
ISBN | 9780691121376 |
---|---|
Pré venda | Não |
Peso | 634g |
Autor para link | WADE WILLIAM R. |
Livro disponível - pronta entrega | Não |
Dimensões | 23 x 16 x 1 |
Tipo item | Livro Importado |
Número de páginas | 568 |
Número da edição | EDIÇÃO REVISADA - 2005 |
Código Interno | 591332 |
Código de barras | 9780691121376 |
Acabamento | HARDCOVER |
Autor | WADE, WILLIAM R. |
Editora | PRINCETON UNIVERSITY PRESS |
Sob encomenda | Sim |