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Asset Pricing and Portfolio Choice Theory (Financial Management Association Survey and Synthesis), by Kerry Back
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In Asset Pricing and Portfolio Choice Theory, Kerry E. Back at last offers what is at once a welcoming introduction to and a comprehensive overview of asset pricing. Useful as a textbook for graduate students in finance, with extensive exercises and a solutions manual available for professors, the book will also serve as an essential reference for scholars and professionals, as it includes detailed proofs and calculations as section appendices.
Topics covered include the classical results on single-period, discrete-time, and continuous-time models, as well as various proposed explanations for the equity premium and risk-free rate puzzles and chapters on heterogeneous beliefs, asymmetric information, non-expected utility preferences, and production models. The book includes numerous exercises designed to provide practice with the concepts and to introduce additional results. Each chapter concludes with a notes and references section that supplies pathways to additional developments in the field.
- Sales Rank: #641061 in Books
- Brand: Brand: Oxford University Press, USA
- Published on: 2010-09-10
- Original language: English
- Number of items: 1
- Dimensions: 6.40" h x 1.10" w x 9.50" l, 1.80 pounds
- Binding: Hardcover
- 504 pages
Features
- Used Book in Good Condition
Review
"Kerry Back has created a masterful introduction to asset pricing and portfolio choice. It is easy to foresee this text becoming a new standard in finance PhD courses as well as a valued reference for seasoned finance scholars everywhere. The coverage of topics is comprehensive, starting in a single-period setting and then moving naturally to dynamic models in both discrete and continuous time. The numerous challenging exercises are yet another big strength. In short, an impressive achievement."--Robert F. Stambaugh, Miller Anderson & Sherrerd Professor of Finance, The Wharton School, University of Pennsylvania
"Kerry Back offers us a rigorous, but accessible treatment of the asset pricing theory concepts that every doctoral student in finance should learn. A distinguished scholar in the field provides a presentation that is clear yet concise, and at the end of each chapter exercises that are an invaluable pedagogical tool for both students and instructors."--Eduardo Schwartz, California Chair in Real Estate and Land Economics, UCLA Anderson School of Management
"In Asset Pricing and Portfolio Choice Theory Kerry Back has given us a comprehensive, rigorous and at the same time elegant and self-contained treatment of the important developments in this vast literature. It will be useful to graduate students and advanced undergraduate students in economics, finance, financial engineering, and management science as well as interested practitioners."--Ravi Jagannathan, Chicago Mercantile Exchange/John F. Sandner Professor of Finance and a Co-Director of the Financial Institutions and Markets Research Center, Kellogg School of Management, Northwestern University
About the Author
Kerry E. Back is J. Howard Creekmore Professor of Finance at the Jones School of Business at Rice University, and is the author of A Course in Derivative Securities: Introduction to Theory and Computation, as well as numerous journal articles in finance, economics, and mathematics.
Most helpful customer reviews
1 of 1 people found the following review helpful.
The best there is!
By Mike
Kerry Back's textbook on asset pricing elegantly covers two PhD. level courses in asset pricing theory. It contains portfolio choice theory, equilibrium and derivative pricing in both discrete and continuous time models. Back never loses focus on developing intuition drawing analogies between discrete time and continuous time models while keeping the coverage rigorous and complete. Only the most pedantic theorist would ask for a more technical coverage - this book makes Duffie's treatment of this beautiful subject seem intentionally obtuse. The final chapters covering alternative preferences (habit, long-run risk, non-vNM), while quite current with the literature, feel somewhat rushed. Even still, the chapters on asymmetric information and production models are second to none.
Note: This book would not be especially useful for a financial engineering student since it does not cover numerical methods or complex pricing models for derivatives or the term structure of interest rates.
1 of 2 people found the following review helpful.
Five Stars
By Qiaozhi Hu
Required book for Finance PhD program in United States.
17 of 17 people found the following review helpful.
Probably the best PhD level Asset Pricing book out there.
By Bachelier
I am in the EDHEC PhD program, and we are using this book, instead of Merton's ConTimeFin, or Cochrane for our course Continuous Time Financial Economics.
Kerry Back's clarity is the main utility here. He does spend a *lot* of time on the binomial model (discrete time) before extending it to ConTime, but this grounding helps in the intuition.
Probably the best pedagogic layout of Ito's formula I've ever encountered, and this thoroughly covers Black Scholes, and asset pricing through Heleyete Geman's final extension.
Back's work benefits from all previous work in computational and continuous time finance in that more (not all) of the mathematical notation is standardized.
However, some of his choices for superscripts and subscripts strike you as odd, particularly if you've come from an MSF that emphasizes, say, John Hull's notation (most), or an MSFE (Carnagie Mellon) that emphasizes Merton's notation. Those coming to a PhD in Finance from Engineering or pure or applied Math will face a new, but slope familiar curve with comprehending the notation.
So the admonition in Financial Mathematics that you really have to pay attention to the author's sometimes idiosyncratic choices for mathematical notation remains, but Kerry Back has (to his credit) extensively used that which is agreed upon or in general consensus in this volume, so it is in fact easier to read (n relationship to other books) than say, Merton or Oksendal.
And so here a word on difficulty. This is not Oksendal. This is not Shreve and Karatzas. Those would be more appropriate for a PhD in Financial Mathematics, not a PhD in Finance.
So why four stars instead of five?
Typos, really. Kerr Back has the errata sheet on his website, but still...for a premium priced book the copy editing was supposed to be better than this. It isn't HORRIBLE (like, completely unedited, like some publishers ( "Wiley" )) but you'd expect better from Oxford University Press. And the errata sheet doesn't correct just minor stuff, some key items can throw the first-time-in-the-subject-reader way off on a useless tangent, wasting time and creating initial confusion. So get that errata sheet (the publisher should actually include it with the volume...my copy did not have it).
So in short, this is a great, clear, readable, and understandable Finance PhD level treatment of asset pricing that is a good choice for a variety of courses on continuous time asset pricing and financial economics. With the errata sheet and your hand made corrections, it is an excellent book. It is too light for a Financial Mathematics PhD, but a solid basic or supplemental text.
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