## Capital Markets and Prices: valuing uncertain income streansThis book deals with the valuation of income streams under conditions of uncertainty and will serve well both as an introduction and as an advanced treatment. Developments for a wide variety of market economies and tradeable instruments are unified using the general state preference framework. The topics are those usual in the theory of capital and financial economics. Readers are presumed to have a good foundation in microeconomic theory and basic mathematical skills. |

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### Contents

B Uncertainty and State Contingent Consumption | 12 |

EQUILIBRIUM IN A CONTINGENT COMMODITY | 41 |

B Contingent Claims Exchange | 51 |

Copyright | |

21 other sections not shown

### Common terms and phrases

aggregate consumption allocation asset assumed assumption budget set call option capital structure capital structure decisions choice claims market composite commodity concave Consider constant consumption claims consumption set contingent claims conventional security convex covariance current consumption defined derived utility distribution efficient portfolio efficient set elementary utility functions endowment equal equity equivalent exchange equilibrium expected utility feasible firm firm's fund spanning given I2 individuals implies indirect utility function initial wealth intertemporal investment linearly independent lognormal marginal utility market value matrix mean-variance mutual funds non-stochastic numeraire occurs opportunity set optimal portfolio parameters Pareto optimal payoff payout portfolio fractions preferences price-taking probability problem production plan Proof proposition pure securities recursion restrictions result result-state risk aversion risk neutral risk neutral valuation riskless portfolio riskless rate risky RNVR security market security price security program specific stochastic stochastic dominance strictly substitution trading value maximizing variance vector