Asset Pricing:A Structural Theory and Its Applications

Bing Cheng and Howell Tong
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Bing Cheng: Chinese Academy of Science, China

in World Scientific Books from World Scientific Publishing Co. Pte. Ltd.

Abstract: 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.

Keywords: Asset Pricing; Portfolio Valuation; Equity Premium Puzzle; Risk Sharing; Consumption; Dynamic Asset Allocation; Portfolio Insurance; International Investment (search for similar items in EconPapers)
Date: 2008
ISBN: 9789812704559
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Chapters in this book:

Ch 1 Introduction to Modern Asset Pricing , pp 1-12

Bing Cheng and Howell Tong

Ch 2 A Structural Theory of Asset Pricing and the Equity Premium Puzzle , pp 13-29

Bing Cheng and Howell Tong

Ch 3 Algebra of Stochastic Discount Factors — The Structural Theory of Asset Pricing (Part II) , pp 31-56

Bing Cheng and Howell Tong

Ch 4 Investment and Consumption in a Multi-period Framework , pp 57-69

Bing Cheng and Howell Tong

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