| 000 | 01804camuu2200313 a 4500 | |
| 001 | 000000838553 | |
| 005 | 20110127191758 | |
| 008 | 010208s2001 maua b 001 0 eng | |
| 010 | ▼a 1030213 | |
| 020 | ▼a 9780262072151 (hc. : alk. paper) | |
| 020 | ▼a 9780262572248 (pb. : alk. paper) | |
| 040 | ▼a DLC ▼c DLC ▼d UKM ▼d C#P ▼d IBS ▼d LVB ▼d 211009 | |
| 049 | ▼l 111261767 | |
| 050 | 0 0 | ▼a HG101 ▼b .G65 2001 |
| 082 | 0 0 | ▼a 658.15/5 ▼2 22 |
| 084 | ▼a 658.155 ▼2 DDCK | |
| 090 | ▼a 658.155 ▼b G626e | |
| 100 | 1 | ▼a Gollier, Christian. |
| 245 | 1 4 | ▼a The economics of risk and time / ▼c Christian Gollier. |
| 260 | ▼a Cambridge, Mass. : ▼b MIT Press, ▼c c2001. | |
| 300 | ▼a xx, 444 p : ▼b ill. ; ▼c 24 cm. | |
| 504 | ▼a Includes bibliographical references (p. [428]-440) and index. | |
| 505 | 0 | ▼a The expected utility model -- Risk aversion -- Change in risk -- The standard portfolio problem -- The equilibrium price risk -- A hyperplane separation theorem -- Log-supermodularity -- Risk aversion with background risk -- The tempering effect of background risk -- Taking multiple risks -- The dynamic investment problem -- Special topics in dynamic finance -- The demand for contingent claims -- Risk on wealth -- Consumption under certainty -- Precautionary saving and prudence -- The equilibrium price of time -- The liquidity constraint -- The saving-portfolio problem -- Disentangling risk and time -- Efficient risk sharing -- The equilibrium price of risk and time -- Searching for the representative agent -- The value of information -- Decision making and information -- Information and equilibrium. |
| 650 | 0 | ▼a Finance. |
| 650 | 0 | ▼a Financial engineering. |
| 650 | 0 | ▼a Risk. |
| 650 | 0 | ▼a Risk assessment. |
| 650 | 0 | ▼a Risk management. |
소장정보
| No. | 소장처 | 청구기호 | 등록번호 | 도서상태 | 반납예정일 | 예약 | 서비스 |
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| No. 1 | 소장처 중앙도서관/서고7층/ | 청구기호 658.155 G626e | 등록번호 111608493 (4회 대출) | 도서상태 대출가능 | 반납예정일 | 예약 | 서비스 |
| No. 2 | 소장처 중앙도서관/교육보존A/6 | 청구기호 658.155 G626e | 등록번호 111261767 (4회 대출) | 도서상태 대출가능 | 반납예정일 | 예약 | 서비스 |
컨텐츠정보
책소개
Winner, 2003 Kulp-Wright Book Award from the American Risk and Insurance Association (ARIA) and Awarded the 2001 Paul A. Samuelson Award presented by the TIAA-CREF Institute for Outstanding Scholarly Writing on Lifelong Financial Security
This book updates and advances the theory of expected utility as applied to risk analysis and financial decision making. Von Neumann and Morgenstern pioneered the use of expected utility theory in the 1940s, but most utility functions used in financial management are still relatively simplistic and assume a mean-variance world. Taking into account recent advances in the economics of risk and uncertainty, this book focuses on richer applications of expected utility in finance, macroeconomics, and environmental economics.
The book covers these topics: expected utility theory and related concepts; the standard portfolio problem of choice under uncertainty involving two different assets; P the basic hyperplane separation theorem and log-supermodular functions as technical tools for solving various decision-making problems under uncertainty; s choice involving multiple risks; the Arrow-Debreu portfolio problem; consumption and saving; the equilibrium price of risk and time in an Arrow-Debreu economy; and dynamic models of decision making when a flow of information on future risks is expected over time. The book is appropriate for both students and professionals. Concepts are presented intuitively as well as formally, and the theory is balanced by empirical considerations. Each chapter concludes with a problem set.
정보제공 :
목차
CONTENTS Preface = xv Acknowledgments = xix Ⅰ General Theory = 1 1 The Expected Utility Model = 3 1.1 Simple and Compound Lotteries = 3 1.2 Axioms on Preferences under Uncertainty = 4 1.3 The Expected Utility Theorem = 6 1.4 Critics of the Expected Utility Model = 9 1.4.1 The Allais Paradox = 10 1.4.2 The Allais Paradox and Time Consistency = 11 1.5 Concluding Remark = 14 1.6 Exercises and Extensions = 14 2 Risk Aversion = 17 2.1 Characterization of Risk Aversion = 17 2.2 Comparative Risk Aversion = 18 2.3 Certainty Equivalent and Risk Premium = 20 2.4 The Arrow-Pratt Approximation = 21 2.5 Decreasing Absolute Risk Aversion = 24 2.6 Some Classical Utility Functions = 25 2.7 Test for Your Own Degree of Risk Aversion = 29 2.8 An Application : The Cost of Macroeconomic Risks = 32 2.9 Conclusion = 34 2.10 Exercises and Extensions = 35 3 Change in Risk = 39 3.1 The Extremal Approach = 40 3.2 Second-Order Stochastic Dominance = 42 3.3 Diversification = 45 3.4 First-Order Stochastic Dominance = 46 3.5 Concluding Remark = 47 3.6 Exercises and Extensions = 48 Ⅱ The Standard Portfolio Problem = 51 4 The Standard Portfolio Problem = 53 4.1 The Model and Its Basic Properties = 53 4.2 The Case of a Small Risk = 55 4.3 The Case of HARA Functions = 57 4.4 The Impact of Risk Aversion = 58 4.5 The Impact of a Change in Risk = 59 4.6 Concluding Remark = 61 4.7 Exercises and Extensions = 62 5 The Equilibrium Price of Risk = 65 5.1 A Simple Equilibrium Model for Financial Markets = 65 5.2 The Equity Premium Puzzle = 68 5.3 The Equity Premium with Limited Participation = 71 5.4 The Equity Premium and the Integration of International Financial Markets = 73 5.5 Conclusion = 75 5.6 Exercises = 76 Ⅲ Some Technical Tools and Their Applications = 79 6 A Hyperplane Separation Theorem = 81 6.1 The Diffidence Theorem = 81 6.2 Link with the Jensen's Inequality = 88 6.3 Applications of the Diffidence Theorem = 89 6.3.1 Diffidence = 89 6.3.2 Comparative Diffidence = 90 6.3.3 Central Risk Aversion = 91 6.3.4 Central Riskiness = 92 6.4 The Covariance Rule = 94 6.5 Conclusion = 95 6.6 Exercises and Extensions = 96 7 Log-Supermodularity = 99 7.1 Definition = 99 7.2 Log-Supermodularity and Single Crossing = 102 7.2.1 A Theoretical Result = 102 7.2.2 Applications to the Standard Portfolio Problem = 103 7.2.3 Jewitt's Preference Orders = 104 7.3 Expectation of a Log-Supermodular Function = 105 7.3.1 A Theoretical Result = 105 7.3.2 Two Applications = 106 7.4 Concluding Remark = 107 7.5 Exercises and Extensions = 107 7.6 Appendix = 108 Ⅳ Multiple Risks = 111 8 Risk Aversion with Background Risk = 113 8.1 Preservation of DARA = 114 8.2 The Comparative Risk Aversion Is Not Preserved = 117 8.3 Extensions with Dependent Background Risk = 119 8.3.1 Affiliated Background Risk = 119 8.3.2 The Comparative Risk Aversion in the Sense of Ross = 121 8.4 Conclusion = 123 8.5 Exercises and Extensions = 124 9 The Tempering Effect of Background Risk = 125 9.1 Risk Vulnerability = 126 9.2 Risk Vulnerability and Increase in Risk = 130 9.2.1 Increase in Background Risk = 130 9.2.2 Increase in the Endogenous Risk = 130 9.3 Risk Vulnerability and the Equity Premium Puzzle = 131 9.4 Generalized Risk Vulnerability = 132 9.5 Standardness = 135 9.6 Conclusion = 138 9.7 Exercises and Extensions = 139 10 Taking Multiple Risks = 141 10.1 The Interaction between Asset Demand and Small Gambles = 142 10.2 Are Independent Assets Substitutes? = 144 10.2.1 The i.i.d. Case = 144 10.2.2 The General Case = 150 10.3 Conclusion = 153 10.4 Exercises and Extensions = 153 11 The Dynamic Investment Problem = 155 11.1 Static versus Dynamic Optimization = 157 11.2 The Standard Portfolio Problem = 158 11.2.1 The Model = 158 11.2.2 The HARA Case = 160 11.2.3 A Sufficient Condition for Younger People to Be More Risk-Averse = 161 11.3 Discussion of the Results = 165 11.3.1 Nonlinear Risk Tolerance = 165 11.3.2 Nondifferentiable Marginal Utility = 166 11.4 Background Risk and Time Horizon = 168 11.4.1 Investors Bear a Background Risk at Retirement = 168 11.4.2 Stationary Income Process = 171 11.5 Final Remark = 172 11.6 Exercises and Extensions = 173 12 Special Topics in Dynamic Finance = 175 12.1 The Length of Periods between Trade = 175 12.2 Dynamic Discrete Choice = 179 12.3 Constraints on Feasible Strategies = 183 12.4 The Effect of a Leverage Constraint = 185 12.4.1 The Case of a Lower Bound on the Investment in the Risky Asset = 185 12.4.2 The Case of an Upper Bound on the Investment in the Risky Asset = 187 12.5 Concluding Remarks = 190 12.6 Exercises and Extensions = 190 Ⅴ The Arrow-Debreu Portfolio Problem = 193 13 The Demand for Contingent Claims = 195 13.1 The Model = 196 13.2 Characterization of the Optimal Portfolio = 197 13.3 The Impact of Risk Aversion = 200 13.4 Conclusion = 201 13.5 Exercises and Extensions = 202 14 Risk on Wealth = 205 14.1 The Marginal Propensity to Consume in State π = 206 14.2 The Preservation of DARA and IARA = 208 14.3 The Marginal Value of Wealth = 210 14.4 Aversion to Risk on Wealth = 211 14.5 Concluding Remark = 212 14.6 Exercises and Extensions = 212 Ⅵ Consumption and Saving = 215 15 Consumption under Certainty = 217 15.1 Time Separability = 217 15.2 Exponential Discounting = 218 15.3 Consumption Smoothing under Certainty = 219 15.4 Analogy with the Portfolio Problem = 221 15.5 The Social Cost of Volatility = 224 15.6 The Marginal Propensity to Consume = 226 15.7 Time Diversification and Self-Insurance = 227 15.8 Concluding Remark = 232 15.9 Exercises and Extensions = 232 16 Precautionary Saving and Prudence = 235 16.1 Prudence = 235 16.2 The Demand for Saving = 239 16.3 The Marginal Propensity to Consume under Uncertainty = 239 16.3.1 Does Uncertainty Increase the MPC? = 240 16.3.2 Does Uncertainty Make the MPC Decreasing in Wealth? = 241 16.4 More Than Two Periods = 242 16.4.1 The Euler Equation = 242 16.4.2 Multiperiod Precautionary Saving = 244 16.5 Illiquid Saving under Uncertainty = 246 16.6 Conclusion = 247 16.7 Exercises and Extensions = 248 17 The Equilibrium Price of Time = 249 17.1 Description of the Economy = 250 17.2 The Determinants of the Interest Rate = 252 17.2.1 The Interest Rate in the Absence of Growth = 252 17.2.2 The Effect of a Sure Growth = 253 17.2.3 The Effect of Uncertainty = 254 17.3 The Risk-Free Rate Puzzle = 256 17.4 The Yield Curve = 258 17.4.1 The Pricing Formula = 258 17.4.2 The Yield Curve with HARA Utility Functions = 260 17.4.3 A Result When There Is No Risk of Recession = 261 17.4.4 Exploring the Slope of the Yield Curve When There Is a Risk of Recession = 264 17.5 Concluding Remark = 267 17.6 Exercises and Extensions = 268 18 The Liquidity Constraint = 269 18.1 Saving as a Buffer Stock = 270 18.2 The Liquidity Constraint Raises Risk Aversion = 272 18.3 The Liquidity Constraint and the Shape of Absolute Risk Tolerance = 273 18.4 Numerical Simulations = 277 18.5 Conclusion = 279 18.6 Exercises and Extensions = 281 19 The Saving-Portfolio Problem = 285 19.1 Precautionary Saving with an Endogenous Risk = 285 19.1.1 The Case of Complete Markets = 285 19.1.2 The Case of the Standard Portfolio Problem = 287 19.1.3 Discussion of the Results = 288 19.2 Optimal Portfolio Strategy with Consumption = 290 19.3 The Merton-Samuelson Model = 291 19.4 Concluding Remark = 295 19.5 Exercises and Extensions = 295 20 Disentangling Risk and Time = 297 20.1 The Model of Kreps and Porteus = 298 20.2 Preferences for an Early Resolution of Uncertainty = 299 20.3 Prudence with Kreps-Porteus Preferences = 300 20.4 Conclusion = 302 20.5 Exercises and Extensions = 303 Ⅶ Equilibrium Prices of Risk and Time = 305 21 Efficient Risk Sharing = 307 21.1 The Case of a Static Exchange Economy = 307 21.2 The Mutuality Principle = 309 21.3 The Sharing of the Social Risk = 311 21.3.1 Decomposition of the Problem = 311 21.3.2 The Veil of Ignorance = 312 21.3.3 Efficient Sharing Rules of the Macro Risk = 312 21.3.4 A Two-Fund Separation Theorem = 314 21.3.5 The Case of Small Risk per Capita = 315 21.4 Group's Attitude toward Risk = 316 21.4.1 The Representative Agent = 316 21.4.2 Arrow-Lind Theorem = 317 21.4.3 Group Decision and Individual Choice = 317 21.5 Introducing Time and Investment = 319 21.6 A Final Remark : The Concavity of the Certainty Equivalent Functional = 321 21.7 Conclusion = 323 21.8 Exercises and Extensions = 323 21.9 Appendix = 325 22 The Equilibrium Price of Risk and Time = 327 22.1 An Arrow-Debreu Economy = 327 22.2 Application of the First Theorem of Welfare Economics = 328 22.3 Pricing Arrow-Debreu Securities = 329 22.4 Pricing by Arbitrage = 330 22.5 The Competitive Price of Risk = 332 22.6 The Competitive Price of Time = 334 22.7 Spot Markets and Markets for Futures = 335 22.8 Corporate Finance in an Arrow-Debreu Economy = 337 22.9 Conclusion = 339 22.10 Exercises and Extensions = 340 23 Searching for the Representative Agent = 343 23.1 Analytical Solution to the Aggregation Problem = 344 23.2 Wealth Inequality, Risk Aversion, and the Equity Premium = 345 23.3 Wealth Inequality and the Risk-Free Rate = 347 23.3.1 The Consumption Smoothing Effect = 348 23.3.2 The Precautionary Effect = 349 23.4 Conclusion = 351 23.5 Exercises and Extensions = 352 Ⅷ Risk and Information = 355 24 The Value of Information = 357 24.1 The General Model of Risk and Information = 357 24.1.1 Structure of Information = 357 24.1.2 The Decision Problem = 358 24.1.3 The Posterior Maximum Expected Utility Is Convex in the Vector of Posterior Probabilities = 359 24.2 The Value of Information Is Positive = 362 24.3 Refining the Information Structure = 364 24.3.1 Definition and Basic Characterization = 364 24.3.2 Garbling Messages and the Theorem of Blackwell = 366 24.3.3 Location Experiments = 371 24.4 The Value of Information and Risk Aversion = 373 24.4.1 A Definition of the Value of Information = 373 24.4.2 A Simple Illustration : The Gambler's Problem = 374 24.4.3 The Standard Portfolio Problem = 378 24.5 Conclusion = 379 24.6 Exercises and Extensions = 380 24.7 Appendix = 382 25 Decision Making and Information = 383 25.1 A Technique for the Comparative Statics of More Informativeness = 383 25.2 The Portfolio-Saving Problem = 386 25.3 A Digression : Scientific Uncertainty, Global Warming, and the "Precautionary Principle" = 389 25.4 The Saving Problem with Uncertain Returns = 390 25.5 Precautionary Saving = 392 25.6 The Value of Flexibility and Option Value = 393 25.7 Predictability and Portfolio Management = 397 25.7.1 Exogenous Predictability = 399 25.7.2 Endogenous Predictability and Mean-Reversion = 400 25.8 Conclusion = 405 25.9 Exercises and Extensions = 405 26 Information and Equilibrium = 407 26.1 Hirshleifer Effect = 407 26.2 Information and the Equity Premium = 413 26.3 Conclusion = 418 26.4 Exercises and Extensions = 418 26.5 Appendix = 420 27 Epilogue = 423 27.1 The Important Open Questions = 423 27.1.1 The Independence Axiom = 423 27.1.2 Measures of Risk Aversion = 425 27.1.3 Qualitative Properties of the Utility Function = 425 27.1.4 Economics of Uncertainty and Psychology = 426 27.2 Conclusion = 427 Bibliography = 429 Index of Lemmas and Propositions = 441 Index of Subjects = 443