Incluye referencias bibliográficas (páginas 683-712) e índice.

1. Basic Concepts in Finance: 1.1. Returns on stocks, bonds and real assets ; 1.2. Discounted present value, DPV ; 1.3. Utility and indifference curves ; 1.4. Asset demands ; 1.5. Indifference curves and intertemporal utility ; 1.6. Investment decisions and optimal consumption ; 1.7. Summary -- 2. Basic Statistics in Finance: 2.1. Lognormality and Jensen's inequality ; 2.2. Unit roots, random walk and cointegration ; 2.3. Monte Carlo simulation (MCS) and bootstrapping ; 2.4. Bayesian learning ; 2.5. Summary -- 3. Efficient Markets Hypothesis: 3.1. Overview ; 3.2. Implications of the EMH ; 3.3. Expectations, martingales and fair game ; 3.4. Testing the EMH ; 3.5. Using survey data -- 4. Are Stock Returns Predictable? : 4.1. A century of returns ; 4.2. Simple models ; 4.3. Univariate tests ; 4.4. Multivariate tests ; 4.5. Cointegration and error correction models, ECM ; 4.6. Non-linear models ; 4.7. Markov switching models ; 4.8. Profitable trading strategies? ; 4.9. Summary -- 5. Mean-Variance Portfolio Theory and the CAPM: 4.1. An overview ; 4.2. Mean-variance model ; 4.3. Capital asset pricing model ; 4.4. Beta and systematic risk ; 4.5. Summary -- 6. International Portfolio Diversification: 6.1. Mathematics of the mean-variance model ; 6.2. International diversification ; 6.3. Mean-variance optimization in practice ; 6.4. Summary -- 7. Performance Measures, CAPM and APT: 7.1. Performance Measures ; 7.2. Extensions of the CAPM ; 7.3. Single index model ; 7.4. Arbitrage pricing theory ; 7.5. Summary -- 8. Empirical Evidence: CAPM And APT: 8.1. CAPM: Time series tests ; 8.2. CAPM: Cross-section tests ; 8.3. CAPM, multifactor models and APT ; 8.4. Summary -- 9. Applications of Linear Factor Models: 9.1. Event studies ; 9.2. Mutual fund performance ; 9.3. Mutual fund 'stars'? ; 9.4. Summary -- 10. Valuation Models and Asset Returns: 10.1. The rational valuation formula (RVF) ; 10.2. Special cases of the RVF ; 10.3. Time varying expected returns ; 10.4. Summary -- 11. Stock Price Volatility: 11.1. Shiller volatility tests ; 11.2. Volatility tests and stationarity ; 11.3. Peso problems and variance bounds tests ; 11.4. Volatility and regression tests ; 11.5. Summary -- 12. Stock Prices: The VAR Approach: 12.1. Linearization of returns and the RVF ; 12.2. Empirical results ; 12.3. Persistence and volatility ; 12.4. Summary -- 13. SDF Model and the C-CAPM: 13.1. Consumption-CAPM ; 13.2. C-CAPM and the 'standard' CAPM ; 13.3. Prices and covariance ; 13.4. Rational valuation formula and SDF ; 13.5. Factor models ; 13.6. Summary -- 14. C-CAPM: Evidence and Extensions: 14.1. Should returns be predictable in the C-CAPM? ; 14.2. Equity premium puzzle ; 14.3. Testing the Euler equations of the C-CAPM ; 14.4. Extensions of the SDF model ; 14.5. Habit formation ; 14.6. Equity premium: Further explanations ; 14.7. Conclusions -- 15. Intertemporal Asset Allocation: Theory: 15.1. Two-period model ; 15.2. Multiperiod model ; 15.3. SDF model of expected returns ; 15.4. Summary -- 16. Intertemporal Asset Allocation: Empirics: 16.1. Retirement and stochastic income ; 16.2. Many risky assets ; 16.3. Different preferences ; 16.4. Horizon effects and uncertainty ; 16.5. Market timing and uncertainty ; 16.6. Stochastic parameters ; 16.7. Robustness ; 16.8. Summary -- 17. Rational Bubbles and Learning: 17.1. Rational bubbles ; 17.2. Tests of rational bubbles ; 17.3. Intrinsic bubbles ; 17.4. Learning ; 17.5. Summary -- 18. Behavioral Finance and Anomalies: 18.1. Key ideas ; 18.2. Beliefs and preferences ; 18.3. Survival of noise traders ; 18.4. Anomalies ; 18.5. Corporate finance ; 18.6. Summary -- 19. Behavioral Models: 19.1. Simple model ; 19.2. Optimizing model of noise trader behavior ; 19.3. Shleifer-Vishny model: Short-termism ; 19.4. Contagion ; 19.5. Beliefs and expectations ; 19.6. Momentum and newswatchers ; 19.7. Style investing ; 19.8. Prospect theory ; 19.9. Summary -- 20. Theories of the Term Structure: 20.1. Prices, yields and the RVF ; 20.2. Theories of the term structure ; 20.3. Expectations hypothesis ; 20.4. Summary -- 21. The EH - From Theory to Testing: 21.1. Alternative representations of the EH ; 21.2. VAR approach ; 21.3. Time varying term premium - VAR methodology ; 21.4. Summary -- 22. Empirical Evidence on the Term Structure: 22.1. Data and cointegration ; 22.2. Variance bounds tests ; 22.3. Single equation tests ; 22.4. Expectations hypothesis: Case study ; 22.5. Previous studies ; 22.6. Summary -- 23. SDF and Affine Term Structure Models: 23.1. SDF model ; 23.2. Single factor affine models ; 23.3. Multifactor affine models ; 23.4. Summary -- 24. The Foreign Exchange Market: 24.1. Exchange rate regimes ; 24.2. PPP and LOOP ; 24.3. Covered interest parity, CIP ; 24.4. Uncovered interest parity, UIP ; 24.5. Forward rate unbiasedness, FRU ; 24.6. Real interest rate parity, RIP ; 24.7. Summary -- 25. Testing CIP, UIP and FRU: 25.1. Covered interest arbitrage ; 25.2. Uncovered interest parity ; 25.3. Forward rate unbiasedness, FRU ; 25.4. Testing FRU: VAR methodology ; 25.5. Peso problems and learning ; 25.6. Summary -- 26. Modelling the FX Risk Premium: 26.1. Implications of in FRU regressions ; 26.2. Consumption-CAPM ; 26.3. Affine models of FX returns ; 26.4. FRU and cash-in-advance models ; 26.5. Summary -- 27. The Exchange Rate and Fundamentals: 27.1. Monetary models ; 27.2. Testing the models ; 27.3. New open economy macroeconomics ; 27.4. Summary -- 28. Market Risk: Value At Risk: 28.1. Measuring VAR ; 28.2. Mapping assets: Simplifications ; 28.3. Non-parametric measures ; 28.4. Monte Carlo simulation ; 28.5. Alternative methods ; 28.6. Summary -- 29. Volatility and Market Microstucture: 29.1. Volatility ; 29.2. What influences volatility? ; 29.3. Multivariate GARCH ; 29.4. Market microstructure - FX trading ; 29.5. Survey data and expectations ; 29.6. Technical trading rules