Risk, Information and Insurance
Risk, Information and Insurance

Author: Henri Loubergé

Publisher: Springer Science & Business Media

Published: 2012-12-06

Total Pages: 275

ISBN-13: 9400921837

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Orio Giarini The "Geneva Association" (International Association for the Study of Risk and Insurance Economics) was founded in 1973. The main goal was to stimulate and organize objective research in the field of risk, uncertainty, and insurance, in a world in which such issues were clearly becoming of greater and greater relevance for all economic actors. This was a pioneer ing effort, especially as economic theory and the teaching of economics were still anchored to the key notion of general equilibrium under an assumption of certainty. Thus, we had to start our work almost from scratch. One of the first initiatives was to bring together in Geneva, in June of 1973, all the academics in Europe already involved in risk and insurance economics. We found eight from five different countries who never had met before. This seminar chaired by Raymond Barre, the first president of The Geneva Association, was the first of an annual series that became known as the seminar of "The European Group of Risk and Insurance Economists." Since then more than 100 economists from most European countries as well as participants from two other continents and in particular from the United States have taken part in this seminar.

Empirical Asset Pricing
Empirical Asset Pricing

Author: Wayne Ferson

Publisher: MIT Press

Published: 2019-03-12

Total Pages: 497

ISBN-13: 0262039370

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An introduction to the theory and methods of empirical asset pricing, integrating classical foundations with recent developments. This book offers a comprehensive advanced introduction to asset pricing, the study of models for the prices and returns of various securities. The focus is empirical, emphasizing how the models relate to the data. The book offers a uniquely integrated treatment, combining classical foundations with more recent developments in the literature and relating some of the material to applications in investment management. It covers the theory of empirical asset pricing, the main empirical methods, and a range of applied topics. The book introduces the theory of empirical asset pricing through three main paradigms: mean variance analysis, stochastic discount factors, and beta pricing models. It describes empirical methods, beginning with the generalized method of moments (GMM) and viewing other methods as special cases of GMM; offers a comprehensive review of fund performance evaluation; and presents selected applied topics, including a substantial chapter on predictability in asset markets that covers predicting the level of returns, volatility and higher moments, and predicting cross-sectional differences in returns. Other chapters cover production-based asset pricing, long-run risk models, the Campbell-Shiller approximation, the debate on covariance versus characteristics, and the relation of volatility to the cross-section of stock returns. An extensive reference section captures the current state of the field. The book is intended for use by graduate students in finance and economics; it can also serve as a reference for professionals.

Markets, Information and Uncertainty
Markets, Information and Uncertainty

Author: Kenneth Joseph Arrow

Publisher: Cambridge University Press

Published: 1999-01-28

Total Pages: 412

ISBN-13: 9780521553551

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Leading theorists offer insights on the role of uncertainty and information in the market.

Asset Pricing
Asset Pricing

Author: John H. Cochrane

Publisher: Princeton University Press

Published: 2009-04-11

Total Pages: 552

ISBN-13: 1400829135

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Winner of the prestigious Paul A. Samuelson Award for scholarly writing on lifelong financial security, John Cochrane's Asset Pricing now appears in a revised edition that unifies and brings the science of asset pricing up to date for advanced students and professionals. Cochrane traces the pricing of all assets back to a single idea—price equals expected discounted payoff—that captures the macro-economic risks underlying each security's value. By using a single, stochastic discount factor rather than a separate set of tricks for each asset class, Cochrane builds a unified account of modern asset pricing. He presents applications to stocks, bonds, and options. Each model—consumption based, CAPM, multifactor, term structure, and option pricing—is derived as a different specification of the discounted factor. The discount factor framework also leads to a state-space geometry for mean-variance frontiers and asset pricing models. It puts payoffs in different states of nature on the axes rather than mean and variance of return, leading to a new and conveniently linear geometrical representation of asset pricing ideas. Cochrane approaches empirical work with the Generalized Method of Moments, which studies sample average prices and discounted payoffs to determine whether price does equal expected discounted payoff. He translates between the discount factor, GMM, and state-space language and the beta, mean-variance, and regression language common in empirical work and earlier theory. The book also includes a review of recent empirical work on return predictability, value and other puzzles in the cross section, and equity premium puzzles and their resolution. Written to be a summary for academics and professionals as well as a textbook, this book condenses and advances recent scholarship in financial economics.