Capital Market Equilibria [Paperback]

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.- 2.1 One-Parameter Models.- 2.2 Two-Parameter Models: Mean-Semivariance Approach.- 2.3 Other Two-Parameter Approaches.- 2.4 Extensions to Three or More Parameters.- 3. Rationale of the Hybrid Model.- 3.1 Consistency of the Mean-Variance Approach with Expected Utility and Stochastic Dominance.- 3.2 Explicit Solutions of the Portfolio Problem.- 3.3 Explicit Solutions of the Equilibrium Conditions.- 3.4 Which Mean-Variance Approaches Provide Explicit Solutions?.- 4. Applications of the Hybrid Model.- 4.1 Consideration of Income Taxation.- 4.2 Heterogeneous Expectations.- 4.3 Restrictions on Short Sales.- 4.4 Some Other Market Imperfections.- 5. Appendix.- 5.1 Proof of Theorem 4.- 5.2 Solution of Partial Differential Equation (31).- 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: Lins 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.- 2.1 Preference and Distribution-Free Results.- 2.1.1 Call Options.- 2.1.2 Put Options.- 2.1.3 Relations Between Puts and Calls.- 2.1.4 Additional Arbitrage Restrictions.- 2.2 Distributional Assumptions and Hedging Models.- 2.2.1 Hedge Portfolios.- 2.2.2 The Classical Black-Scholes Model.- 2.2.3 A Brief Description of Other Option Valuation Models.- 2.2.4 Analytic Models For American Calls and Puts.- 2.3 Preference Assumptions and Non-Hedging Models.- 2.4 New Option Instruments.- 2.5 Applications of Option Theory.- 3. Empirical Tests of Option Valual3’