Asset pricing: A structural theory and its applications
Bing Cheng, Howell Tong
Modern asset pricing models play a central role in finance and economic theory and applications. This book introduces a structural theory to evaluate these asset pricing models and throws light on the existence of Equity Premium Puzzle. Based on the structural theory, some algebraic (valuation-preserving) operations are developed in asset spaces and pricing kernel spaces. This has a very important implication leading to practical guidance in portfolio management and asset allocation in the global financial industry. The book also covers topics, such as the role of over-confidence in asset pricing modeling, relationship of the portfolio insurance with option and consumption-based asset pricing models, etc.
Contents: Introduction to Modern Asset Pricing; A Structural Theory of Asset Pricing; Algebra of Stochastic Discount Factors; Investment and Consumption in a Multi-Period Framework.
Категорії:
Рік:
2008
Видавництво:
World Scientific Publishing Company
Мова:
english
Сторінки:
91
ISBN 10:
9812704558
ISBN 13:
9789812704559
Файл:
PDF, 1.03 MB
IPFS:
,
english, 2008