Capital Market Equilibria

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 -- 3. Rationale of the Hybrid Model -- 4. Applications of the Hybrid Model -- 5. Appendix -- 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: Lin’s 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 -- 3. Empirical Tests of Option Valuation -- 4. Appendix: Formulae for the Evaluation of European Calls -- References -- The Value of Security Agreements -- 1. A Survey of Credit Support Decision Models -- 2. Neoclassical Theory and Secured Debt -- 3. The Theory of Credit Support Decisions in the Light of the Economics of Information -- 4. A Scheme of Credit Contract Covenants -- 5. The Efficiency of Securing Debt -- 6. Appendix: Secured Debt and Uncertainty -- References -- Asset Pricing in a Small Economy: A Test of the Omitted Assets Model -- 1. Introduction -- 2. Portfolio Based Tests of Efficiency -- 3. Omitted Assets -- 4. The Data -- 5. Efficiency of the Canadian Market Index -- 6. Tests of the Omitted Assets Hypothesis -- Appendix: Iterative Maximum Likelihood Procedure -- References -- The Simple Analytics of Arbitrage -- 1. General Equilibrium, Modern Finance, and Arbitrage Theory -- 2. An Example, its Generalization, and the Question -- 3. Arbitrage versus Equilibrium -- 4. Derivative Contracts in Complete Capital Markets -- References -- About Contributors -- Author Index.