Asset Pricing: A Structural Theory and Its Applications

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Asset Pricing: A Structural Theory and Its Applications

Bing Cheng, Howell Tong "Asset Pricing: A Structural Theory and Its Applications"
World Scientific Publishing Company | English | 2008-07-21 | ISBN: 9812704558 | 92 pages | PDF | 1,2 MB

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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