Asset pricing : a structural theory and its applications / Bing Cheng, Howell Tong.

Format:

Book

Author/Creator:

Cheng, Bing.

Contributor:

Tong, Howell.

Language:

English

Subjects (All):

Capital assets pricing model.

Stocks--Prices--Mathematical models.

Stocks.

Physical Description:

1 online resource (92 p.)

Edition:

1st ed.

Place of Publication:

Hackensack, NJ : World Scientific, c2008.

Language Note:

English

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

Contents:

1. Introduction to modern asset pricing. 1.1. A brief history of modern asset pricing models. 1.2. The equity premium puzzle

2. A structural theory of asset pricing. 2.1. Construction of continuous linear pricing functionals. 2.2. The structural theory of asset pricing - pt. I. 2.3. Is the equity premium puzzle really a puzzle or not a puzzle? 2.4. Conclusions and summary - 3. Algebra of stochastic discount factors. 3.1. Symmetric theorem of asset pricing. 3.2. Compounding asset pricing models. 3.3. Compression of asset pricing models. 3.4. Decomposition of errors in asset pricing models. 3.5. Empirical analysis of the asset pricing models. 3.6. Conclusions

4. Investment and consumption in a multi-period framework. 4.1. Review of Merton's asset pricing model. 4.2. Optimal decisions of investment and consumption. 4.3. Optimal investment behavior. 4.4. Conclusions.

Notes:

Description based upon print version of record.

Includes bibliographical references (p. 71-74) and index.

ISBN:

9789812832504

9812832505

OCLC:

820944576