Research Catalog

Asset pricing : a structural theory and its applications

Title
Asset pricing : a structural theory and its applications / Bing Cheng, Howell Tong.
Author
Cheng, Bing.
Publication
Hackensack, NJ : World Scientific, [2008], ©2008.

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Additional Authors
Tong, Howell.
Description
xiii, 76 pages : illustrations (some color); 24 cm
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."--BOOK JACKET.
Subject
Bibliography (note)
  • Includes bibliographical references (p. 71-74) and index.
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 Part 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.
ISBN
  • 9789812704559 (hbk.)
  • 9812704558 (hbk.)
OCLC
  • ocn144224898
  • 144224898
  • SCSB-5435697
Owning Institutions
Columbia University Libraries