Asset Pricing: A Structural Theory And Its Applications
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A01=Bing Cheng
A01=Howell A M Tong
Asset Pricing
Author_Bing Cheng
Author_Howell A M Tong
Category=KFFM
Consumption
Dynamic Asset Allocation
eq_bestseller
eq_business-finance-law
eq_isMigrated=1
eq_isMigrated=2
eq_nobargain
eq_non-fiction
Equity Premium Puzzle
International Investment
Portfolio Insurance
Portfolio Valuation
Risk Sharing
Product details
- ISBN 9789812704559
- Publication Date: 23 Jul 2008
- Publisher: World Scientific Publishing Co Pte Ltd
- Publication City/Country: SG
- Product Form: 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.
