Asset Pricing Theory is an advanced textbook for doctoral students and researchers that offers a modern introduction to the theoretical and methodological foundations of competitive asset pricing. Costis Skiadas develops in depth the fundamentals of arbitrage pricing, mean-variance analysis, equilibrium pricing, and optimal consumption/portfolio choice in discrete settings, but with emphasis on geometric and martingale methods that facilitate an effortless transition to the more advanced continuous-time theory. Among the book's many innovations are its use of recursive utility as the benchmark representation of dynamic preferences, and an associated theory of equilibrium pricing and optimal portfolio choice that goes beyond the existing literature. Asset Pricing Theory is complete with extensive exercises at the end of every chapter and comprehensive mathematical appendixes, making this book a self-contained resource for graduate students and academic researchers, as well as mathematically sophisticated practitioners seeking a deeper understanding of concepts and methods on which practical models are built. * Covers in depth the modern theoretical foundations of competitive asset pricing and consumption/portfolio choice * Uses recursive utility as the benchmark preference representation in dynamic settings * Sets the foundations for advanced modeling using geometric arguments and martingale methodology * Features self-contained mathematical appendixes * Includes extensive end-of-chapter exercises

Costis Skiadas has given us the definitive self-contained treatment of neoclassical asset pricing theory. There is nothing more rigorous, elegant, or thoughtful on the subject. -- Darrell Duffie, Graduate School of Business, Stanford University Asset Pricing Theory is a significant contribution to the field because it fills a void and does so in a masterful way. It will be useful to economists, mathematicians, financial engineers, and physicists who wish to read a high-level and rigorous development of the subject. I predict that this book will remain a standard reference for many years to come. -- George M. Constantinides, University of Chicago

About the Author
Costis Skiadas is the Harold L. Stuart Professor of Finance at Northwestern University's Kellogg School of Management.

Reviews
"Costis Skiadas has hit a grand-slam with Asset Pricing Theory which fills a great void. It will speak to you in a well-designed, and thoughtful manner encouraging you to read a high-level and rigorous development of the subject regardless of your age, profession or position as economists, mathematicians, financial engineers, and physicists. I am adding it to my 'must read list' for my students and associates. I predict that Asset Pricing Theory will establish itself as a standard reference for many years to come, and this is the quality I admire--a quality that can only be born from experience. Read this book if you want to lead an organization, or lead the way."--Current Engineering Practice "I am sure any ambitious student who has read it will be drawn into the field immediately... I like the book very much and would recommend it for use in any serious asset pricing theory subject."--Qi Zeng, Economic Record



Book Information
ISBN 9780691139852
Author Costis Skiadas
Format Hardback
Page Count 368
Imprint Princeton University Press
Publisher Princeton University Press
Weight(grams) 765g