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-prese...
Saved in:
| Online Access: |
Full Text (via ProQuest) |
|---|---|
| Main Author: | |
| Other Authors: | |
| Format: | eBook |
| Language: | English |
| Published: |
Singapore ; Hackensack, N.J. :
World Scientific Pub. Co.,
©2008.
|
| Subjects: |
| Summary: | 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. |
|---|---|
| Physical Description: | 1 online resource. |
| Bibliography: | Includes bibliographical references (pages 71-74) and index. |
| ISBN: | 9789812832504 9812832505 |