A Structural Theory of Asset Pricing and the Equity Premium Puzzle

Bing Cheng and Howell Tong
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Bing Cheng: Chinese Academy of Science, China
Howell Tong: London School of Economics, UK

Chapter 2 in Asset Pricing:A Structural Theory and Its Applications, 2008, pp 13-29 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:Construction of Continuous Linear Pricing Functionals and No-arbitrage ConditionsThe Structural Theory of Asset Pricing – Part IIs the Equity Premium Puzzle Really a Puzzle or not a Puzzle?Conclusions and Summary

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
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