| Asset Pricing: A Structural Theory and Its Applications Contributor(s): Cheng, Bing (Author), Tong, Howell A. M. (Author) |
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ISBN: 9812704558 ISBN-13: 9789812704559 Publisher: World Scientific Publishing Company OUR PRICE: $74.10 Product Type: Hardcover - Other Formats Published: April 2008 |
| Additional Information |
| BISAC Categories: - Business & Economics | Investments & Securities - General - Business & Economics | Business Mathematics |
| Dewey: 332.632 |
| Physical Information: 0.45" H x 6.02" W x 9.26" (0.70 lbs) 92 pages |
| Descriptions, Reviews, Etc. |
| Publisher Description: 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. |