Asset Pricing: A Structural Theory And Its Applications

Asset Pricing: A Structural Theory And Its Applications

By: Bing Cheng (author), Howell Tong (author)Hardback

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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.


Introduction to Modern Asset Pricing; 2 x 2 Risk Sharing; N x N Risk Sharing; A Structural Theory of Asset Pricing and the Equity Premium Puzzle; Empirical Analysis of Pricing Errors and the Equity Premium Puzzle; Compound Asset Pricing Models into a Complex Pricing Model; Investment and Consumption in a Multi-Period Framework.

Product Details

  • ISBN13: 9789812704559
  • Format: Hardback
  • Number Of Pages: 92
  • ID: 9789812704559
  • ISBN10: 9812704558

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