"Financial Models and Theories" by Professor Jonathan Ingersoll

In his retirement, Jon Ingersoll is writing a new PhD level textbook titled, “Financial Models and Theories.”  Please visit Professor Ingersoll’s faculty website for the latest versions of his chapters. You can download preliminary chapters for part one on single-period models from his website.

Part one chapters on single-period models include:

Chapter 1: Utility Theory
Chapter 2: Risk
Chapter 3: Risk Aversion
Chapter 4: Arbitrage
Chapter 5: Complete Markets
Chapter 6: Mean-Variance Theory and the CAPM
Chapter 7: Extensions to the CAPM
Chapter 8: The Portfolio Problem
Chapter 9: Utility-Based Models
Chapter 10: Efficient Portfolios
Chapter 12: Mutual Fund Separation Theorems
Chapter 13: Probability Weighting
Chapter 14: 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.