Algebra of Stochastic Discount Factors — The Structural Theory of Asset Pricing (Part II)

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

Chapter 3 in Asset Pricing:A Structural Theory and Its Applications, 2008, pp 31-56 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:Symmetric Theorem of Asset Pricing with an Application to Value Economic DerivativeCompounding Asset Pricing Models with Applications to Bottom-up Investment MethodologyCompression of Asset Pricing Models with Applications to Top-down Investment MethodologyDecomposition of Errors in Asset Pricing ModelsEmpirical Analysis of the Asset Pricing ModelsThe data set and utility formsThree sources of pricing errorsDecomposition of the pricing errorsConclusions

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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