Yale School of Management

International Center for Finance

Providing academic and professional support for research in financial economics.

"Financial Models and Theories" by Professor Jonathan Ingersoll

September 16, 2019
Jon Ingersoll
Professor Jonathan
E. Ingersoll

In his retirement, Jon Ingersoll is writing a new PhD level text book titled, “Financial Models and Theories.”  Preliminary chapters for part one on single-period models are available below.

Chapter 1: Utility Theory
Chapter 2: Risk and Risk Aversion
Chapter 3: Arbitrage
Chapter 4: Complete Markets
Chapter 5: Mean-Variance Theory and the CAPM
Chapter 6: Extensions to the CAPM
Chapter 7: The Portfolio Problem
Chapter 8: Efficient Portfolios
Chapter 9: Mutual Fund Separation Theorems
Chapter 10: APT
Chapter 11: Probability Weighting
Chapter 12: Cumulative Prospect Theory


Chapters covering multi-period models and models of information, will be available later at this same site.

If you notice any errors or find portions which you believe could use clarification, please let him know by email at jonathan.ingersoll@yale.edu.

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