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1、TheoryofFinancialDecisionMakingJonathanE.Ingersoll,Jr.YaleUniversityPrefaceInthepasttwentyyearsthequantityofnewandexcitingresearchin?nancehasbeenlarge,andasizablebodyofbasicmaterialnowliesatthecoreofourareaofstudy.Itisthepurposeofthisbooktopresentthiscore
2、inasystematicandthoroughfashion.Thenotesforthisbookhavebeentheprimarytextforvariousdoctoral-levelcoursesin?nancialtheorythatIhavetaughtoverthepasteightyearsattheUniversityofChicagoandYaleUniversity.Ina11thecoursesthesenoteshavebeensupplementedwithreadings
3、selectedfromjournals.Readingoriginaljournalarticlesisanintegralpartoflearninganacademic?eld,sinceitservestointroducethestudentstotheongoingprocessofresearch,includingitsmis-stepsandcontroversies.Inmyopinionanyprogramofstudywouldbeamissnottoconveythisconti
4、nuinggrowth.Thisbookisstructuredinfourparts.The?rstpart,Chapters1-3,providesanintro-ductiontoutilitytheory,arbitrage,portfolioformation,andef?cientmarkets.Chapter1providessomenecessarybackgroundinmicroeconomics.Consumerchoiceisreviewed,andexpectedutilitym
5、aximizationisintroduced.Riskaversionanditsmeasurementarealsocovered.Chapter2introducestheconceptofarbitrage.Theabsenceofarbitrageisoneofthemostconvincingand,therefore,farthest-reachingargumentsmadein?nancialeconomics.Arbitragereasoningisthebasisforthearbi
6、tragepricingtheory,oneoftheleadingmodelspurportingtoexplainthecross-sectionaldifferenceinassetreturns,Perhapsmoreimpor-tant,theabsenceofarbitrageisthekeyinthedevelopmentoftheBlack-Scholesoptionpricingmodelanditsvariousderivatives,whichhavebeenusedtovaluea
7、widevarietyofclaimsbothintheoryandinpractice.Chapter3beginsthestudyofsingle-periodportfolioproblems.Italsointroducesthestudenttothetheoryofef?cientmarkets:thepremisethatassetpricesfullyre?ectallinformationavailabletothemarket.Thetheoryofef?cient(orrationa
8、l)marketsisoneofthecornerstonesofmodern?nance;itpermeatesalmostallcurrent?nancialresearchandhasfoundwideacceptanceamongpractitioners,aswell.Inthesecondmainsection,Chapters4-9coversingle-periodequilibriummodels.Chap-
