Dynamic Asset Pricing Theory

@inproceedings{Duffie1992DynamicAP,
  title={Dynamic Asset Pricing Theory},
  author={Darrell Duffie},
  year={1992}
}
"Dynamic Asset Pricing Theory" is a textbook for doctoral students and researchers on the theory of asset pricing and portfolio selection in multiperiod settings under uncertainty. The asset pricing results are based on the three increasingly restrictive assumptions: absence of arbitrage, single-agent optimaltiy, and equilibrium. These results are unified with two key concepts, state prices and martingales. Technicalities are given relatively little emphasis so as to draw connections between… Expand

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