Asset Pricing

Asset Pricing

A Structural Theory and Its Applications

eBook - 2008
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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.
Publisher: Singapore ; Hackensack, N.J. : World Scientific Pub. Co., ©2008
ISBN: 9789812832504
9812832505
Characteristics: 1 online resource
Additional Contributors: Tong, Howell

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