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Capital Market Equilibria

Author: Günter Bamberg; Klaus Spremann
Publisher: Berlin, Heidelberg : Springer Berlin Heidelberg, 1986.
Edition/Format:   eBook : Document : EnglishView all editions and formats
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Günter Bamberg; Klaus Spremann
ISBN: 9783642709951 3642709958
OCLC Number: 851819403
Description: 1 online resource (x, 228 pages)
Contents: Prologue --
1. Equilibrium versus Market Imperfections --
2. Questions and Answers --
The Hybrid Model and Related Approaches to Capital Market Equilibria --
1. Introduction --
2. Portfolio Models Based on Different Sets of Parameters --
3. Rationale of the Hybrid Model --
4. Applications of the Hybrid Model --
5. Appendix --
References --
Portfolio Decisions and Capital Market Equilibria Under Incomplete Information --
1. Introduction --
2. Risk Situation with Regard to the Prior Parameters: A Two-Level Bayes Approach --
3. Risk Situation with Regard to the Prior Parameters: Lin's Approach --
4. Partial Uncertainty with Regard to the Prior Parameters --
5. Asset Pricing under Uncertainty --
References --
Option Valuation: Theory and Empirical Evidence --
1. Introduction --
2. Option Valuation Theory --
3. Empirical Tests of Option Valuation --
4. Appendix: Formulae for the Evaluation of European Calls --
References --
The Value of Security Agreements --
1. A Survey of Credit Support Decision Models --
2. Neoclassical Theory and Secured Debt --
3. The Theory of Credit Support Decisions in the Light of the Economics of Information --
4. A Scheme of Credit Contract Covenants --
5. The Efficiency of Securing Debt --
6. Appendix: Secured Debt and Uncertainty --
References --
Asset Pricing in a Small Economy: A Test of the Omitted Assets Model --
1. Introduction --
2. Portfolio Based Tests of Efficiency --
3. Omitted Assets --
4. The Data --
5. Efficiency of the Canadian Market Index --
6. Tests of the Omitted Assets Hypothesis --
Appendix: Iterative Maximum Likelihood Procedure --
References --
The Simple Analytics of Arbitrage --
1. General Equilibrium, Modern Finance, and Arbitrage Theory --
2. An Example, its Generalization, and the Question --
3. Arbitrage versus Equilibrium --
4. Derivative Contracts in Complete Capital Markets --
References --
About Contributors --
Author Index.
Responsibility: edited by Günter Bamberg, Klaus Spremann.

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