Asset Pricing: A Structural Theory and Its Applications

von Bing Cheng, Howell A M Tong

92 Seiten, Hardcover

Kurzbeschreibung des Verlags

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.

• ISBN: 9789812704559
• Sprache: Englisch
• Erscheinungsdatum: 01.04.2008
• Größe: 235 x 153 mm
• Verlag: World Scientific Publishing Company