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Figures xiiiTables xvPreface xviiPart I Static Portfolio Choice and Asset Pricing1 Choice under Uncertainty 31.1 Expected Utility 31.1.1 Sketch of von Neumann-Morgenstern Theory 41.2 Risk Aversion 51.2.1 Jensen's Inequality and Risk Aversion 51.2.2 Comparing Risk Aversion 71.2.3 The Arrow-Pratt Approximation 91.3 Tractable Utility Functions 101.4 Critiques of Expected Utility Theory 121.4.1 Allais Paradox 121.4.2 Rabin Critique 131.4.3 First-Order Risk Aversion and Prospect Theory 141.5 Comparing Risks 151.5.1 Comparing Risks with the Same Mean 161.5.2 Comparing Risks with Different Means 181.5.3 The Principle of Diversification 191.6 Solution and Further Problems 202 Static Portfolio Choice 232.1 Choosing Risk Exposure 232.1.1 The Principle of Participation 232.1.2 A Small Reward for Risk 242.1.3 The CARA-Normal Case 252.1.4 The CRRA-Lognormal Case 272.1.5 The Growth-Optimal Portfolio 302.2 Combining Risky Assets 302.2.1 Two Risky Assets 312.2.2 One Risky and One Safe Asset 332.2.3 N Risky Assets 342.2.4 The Global Minimum-Variance Portfolio 352.2.5 The Mutual Fund Theorem 392.2.6 One Riskless Asset and N Risky Assets 392.2.7 Practical Difficulties 422.3 Solutions and Further Problems 433 Static Equilibrium Asset Pricing 473.1 The Capital Asset PricingModel (CAPM) 473.1.1 Asset Pricing Implications of the Sharpe-Lintner CAPM 483.1.2 The Black CAPM 503.1.3 Beta Pricing and Portfolio Choice 513.1.4 The Black-Litterman Model 543.2 Arbitrage Pricing and Multifactor Models 553.2.1 Arbitrage Pricing in a Single-Factor Model 553.2.2 Multifactor Models 593.2.3 The Conditional CAPM as a Multifactor Model 603.3 Empirical Evidence 613.3.1 Test Methodology 613.3.2 The CAPM and the Cross-Section of Stock Returns 663.3.3 Alternative Responses to the Evidence 723.4 Solution and Further Problems 774 The Stochastic Discount Factor 834.1 Complete Markets 834.1.1 The SDF in a Complete Market 834.1.2 The Riskless Asset and Risk-Neutral Probabilities 844.1.3 Utility Maximization and the SDF 854.1.4 The Growth-Optimal Portfolio and the SDF 854.1.5 Solving Portfolio Choice Problems 864.1.6 Perfect Risksharing 874.1.7 Existence of a Representative Agent 884.1.8 Heterogeneous Beliefs 894.2 Incomplete Markets 904.2.1 Constructing an SDF in the Payoff Space 904.2.2 Existence of a Positive SDF 924.3 Properties of the SDF 934.3.1 Risk Premia and the SDF 934.3.2 Volatility Bounds 954.3.3 Entropy Bound 1004.3.4 Factor Structure 1024.3.5 Time-Series Properties 1024.4 Generalized Method of Moments 1034.4.1 Asymptotic Theory 1044.4.2 Important GMM Estimators 1054.4.3 Traditional Tests in the GMM Framework 1074.4.4 GMM in Practice 1094.5 Limits of Arbitrage 1124.6 Solutions and Further Problems 114Part II Intertemporal Portfolio Choice and Asset Pricing5 Present Value Relations 1215.1 Market Efficiency 1215.1.1 Tests of Autocorrelation in Stock Returns 1245.1.2 Empirical Evidence on Autocorrelation in Stock Returns 1255.2 Present Value Models with Constant Discount Rates 1275.2.1 Dividend-Based Models 1275.2.2 Earnings-Based Models 1315.2.3 Rational Bubbles 1325.3 Present Value Models with Time-Varying Discount Rates 1345.3.1 The Campbell-Shiller Approximation 1345.3.2 Short-and Long-Term Return Predictability 1375.3.3 Interpreting US Stock Market History 1405.3.4 VAR Analysis of Returns 1435.4 Predictive Return Regressions 1445.4.1 Stambaugh Bias 1455.4.2 Recent Responses Using Financial Theory 1465.4.3 Other Predictors 1485.5 Drifting Steady-State Models 1505.5.1 Volatility and Valuation 1505.5.2 Drifting Steady-State Valuation Model 1515.5.3 Inflation and the Fed Model 1535.6 Present Value Logic and the Cross-Section of Stock Returns 1535.6.1 Quality as a Risk Factor 1545.6.2 Cross-Sectional Measures of the Equity Premium 1545.7 Solution and Further Problems 1566 Consumption-Based Asset Pricing 1616.1 Lognormal Consumption with Power Utility 1626.2 Three Puzzles 1636.2.1 Responses to the Puzzles 1666.3 Beyond Lognormality 1686.3.1 Time-Varying Disaster Risk 1736.4 Epstein-Zin Preferences 1766.4.1 Deriving the SDF for Epstein-Zin Preferences 1786.5 Long-Run Risk Models 1826.5.1 Predictable Consumption Growth 1826.5.2 Heteroskedastic Consumption 1846.5.3 Empirical Specification 1866.6 Ambiguity Aversion 1876.7 Habit Formation 1916.7.1 A Ratio Model of Habit 1926.7.2 The Campbell-Cochrane Model 1936.7.3 Alternative Models of Time-Varying Risk Aversion 1986.8 Durable Goods 1996.9 Solutions and Further Problems 2017 Production-Based Asset Pricing 2077.1 Physical Investment with Adjustment Costs 2077.1.1 A q-Theory Model of Investment 2087.1.2 Investment Returns 2127.1.3 Explaining Firms' Betas 2147.2 General Equilibrium with Production 2157.2.1 Long-Run Consumption Risk in General Equilibrium 2157.2.2 Variable Labor Supply 2207.2.3 Habit Formation in General Equilibrium 2227.3 Marginal Rate of Transformation and the SDF 2227.4 Solution and Further Problem 2268 Fixed-Income Securities 2298.1 Basic Concepts 2308.1.1 Yields and Holding-Period Returns 2308.1.2 Forward Rates 2348.1.3 Coupon Bonds 2368.2 The Expectations Hypothesis of the Term Structure 2378.2.1 Restrictions on Interest Rate Dynamics 2388.2.2 Empirical Evidence 2398.3 Affine Term Structure Models 2418.3.1 Completely Affine Homoskedastic Single-Factor Model 2428.3.2 Completely Affine Heteroskedastic Single-Factor Model 2458.3.3 Essentially Affine Models 2468.3.4 Strong Restrictions and Hidden Factors 2498.4 Bond Pricing and the Dynamics of Consumption Growth and Inflation 2508.4.1 Real Bonds and Consumption Dynamics 2508.4.2 Permanent and Transitory Shocks to Marginal Utility 2528.4.3 Real Bonds, Nominal Bonds, and Inflation 2548.5 Interest Rates and Exchange Rates 2578.5.1 Interest Parity and the Carry Trade 2588.5.2 The Domestic and Foreign SDF 2608.6 Solution and Further Problems 2649 Intertemporal Risk 2699.1 Myopic Portfolio Choice 2709.2 Intertemporal Hedging 2729.2.1 A Simple Example 2729.2.2 Hedging Interest Rates 2739.2.3 Hedging Risk Premia 2779.2.4 Alternative Approaches 2839.3 The Intertemporal CAPM 2839.3.1 A Two-Beta Model 2839.3.2 Hedging Volatility: A Three-Beta Model 2879.4 The Term Structure of Risky Assets 2909.4.1 Stylized Facts 2909.4.2 Asset Pricing Theory and the Risky Term Structure 2919.5 Learning 2959.6 Solutions and Further Problems 299Part III Heterogeneous Investors10 Household Finance 30710.1 Labor Income and Portfolio Choice 30810.1.1 Static Portfolio Choice Models 30810.1.2 Multiperiod Portfolio Choice Models 31210.1.3 Labor Income and Asset Pricing 31610.2 Limited Participation 31810.2.1 Wealth, Participation, and Risktaking 31810.2.2 Asset Pricing Implications of Limited Participation 32210.3 Underdiversification 32310.3.1 Empirical Evidence 32410.3.2 Effects on the Wealth Distribution 32710.3.3 Asset Pricing Implications of Underdiversification 32910.4 Responses to Changing Market Conditions 33110.5 Policy Responses 33410.6 Solutions and Further Problems 33511 Risksharing and Speculation 34111.1 Incomplete Markets 34211.1.1 Asset Pricing with Uninsurable Income Risk 34211.1.2 Market Design with Incomplete Markets 34511.1.3 General Equilibrium with Imperfect Risksharing 34611.2 Private Information 34711.3 Default 34911.3.1 Punishment by Exclusion 34911.3.2 Punishment by Seizure of Collateral 35311.4 Heterogeneous Beliefs 35411.4.1 Noise Traders 35411.4.2 The Harrison-Kreps Model 35611.4.3 Endogenou Margin Requirements 35911.5 Solution and Further Problems 36312 Asymmetric Information and Liquidity 37112.1 Rational Expectations Equilibrium 37212.1.1 Fully Revealing Equilibrium 37212.1.2 Partially Revealing Equilibrium 37512.1.3 News, Trading Volume, and Returns 37812.1.4 Equilibrium with Costly Information 38012.1.5 Higher-Order Expectations 38312.2 Market Microstructure 38412.2.1 Information and the Bid-Ask Spread 38512.2.2 Information and Market Impact 38912.2.3 Diminishing Returns in Active Asset Management 39212.3 Liquidity and Asset Pricing 39212.3.1 Constant Trading Costs and Asset Prices 39312.3.2 Random Trading Costs and Asset Prices 39512.3.3 Margins and Asset Prices 39612.3.4 Margins and Trading Costs 39712.4 Solution and Further Problems 400References 405Index 435