Item description for Asset Pricing: A Structural Theory and Its Applications by 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.
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Studio: World Scientific Publishing Company
Est. Packaging Dimensions: Length: 8.98" Width: 6.14" Height: 0.47"
Release Date Jul 21, 2008
Publisher World Scientific Publishing Company
ISBN 9812704558 ISBN13 9789812704559