Keypoints of Financial Economics
By Sven Chapter 1
1, Utility Function
2, MRS
3, Fisher Separation theorem of lenders and borrowers within capital market
4, transaction cost
Chapter 2
1, Forms of value, e.g. production economy, production economy with labor choice, production economy with uncertain variable, asset pricing model
2, state variable, choice/control variable, transaction function
3, Bellman equation with no policy function, Bellman equation with policy function
4, First Order Condition
5, Benveniste-Scheinkman Condition
6, Euler Equation
7, Bellman equation and Euler equation of value under uncertainty
Chapter 3
1, value form and market clear
2, Bellman equation and Euler equation of asset value
3, asset pricing model, pricing kernel
4, price of real discount bond, nominal discount bond, market index, option price, managed portfolio
Chapter 4
1, power utility function
2, RRA, ARA, risk preference
3, risk correction, price decomposition
Chapter 5
1, Risk premium
2, procyclical asset and its price
3, countercyclical asset and its price
4, aggregate risk, idiosyncratic risk, non-priced idiosyncratic risk
5, Risk premium of return
6, mean-variance bounds and its quantitative specification
7, VaR
Chapter 6
1, portfolio, market portfolio, efficient portfolio
2, lagrangian solution to portfolio optimization
3, risk tolerance, x min, z*
4,(μx, σx)diagram(Markowitz frontier with no risk-free asset)
5, relations between x*, x min, τ,z*; relations between x*,τ,τm,x*m
6, (μx, σx)diagram with risk-free asset( Markowitz frontier with risk-free asset)
7, CML
8, rationalization of CAPM, market clear, SML
Chapter 7
1, systematic risk, non-systematic risk
2, CAPM for a portfolio
Chapter 8
1, Arbitrage, arbitrage-free, arbitrage matrix
2, weakness of CAPM
3, APT model, π matrix
Chapter 9
1, Allocational efficient capital market, operational efficient capital market
2, Capital Market Efficiency, Fama’s Theory
3, Value of information
4, three types of efficient capital market。