Asset pricing: a structural theory and its applications
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Singapore
World Scientific Pub. Co.
c2008
|
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Beschreibung: | Includes bibliographical references (p. 71-74) and index 1. Introduction to modern asset pricing. 1.1. A brief history of modern asset pricing models. 1.2. The equity premium puzzle -- 2. A structural theory of asset pricing. 2.1. Construction of continuous linear pricing functionals. 2.2. The structural theory of asset pricing -- pt. I. 2.3. Is the equity premium puzzle really a puzzle or not a puzzle? 2.4. Conclusions and summary -- 3. Algebra of stochastic discount factors. 3.1. Symmetric theorem of asset pricing. 3.2. Compounding asset pricing models. 3.3. Compression of asset pricing models. 3.4. Decomposition of errors in asset pricing models. 3.5. Empirical analysis of the asset pricing models. 3.6. Conclusions -- 4. Investment and consumption in a multi-period framework. 4.1. Review of Merton's asset pricing model. 4.2. Optimal decisions of investment and consumption. 4.3. Optimal investment behavior. 4.4. Conclusions 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 |
| Beschreibung: | 1 Online-Ressource |
| ISBN: | 9789812832504 9812832505 |
Internformat
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| 500 | |a Includes bibliographical references (p. 71-74) and index | ||
| 500 | |a 1. Introduction to modern asset pricing. 1.1. A brief history of modern asset pricing models. 1.2. The equity premium puzzle -- 2. A structural theory of asset pricing. 2.1. Construction of continuous linear pricing functionals. 2.2. The structural theory of asset pricing -- pt. I. 2.3. Is the equity premium puzzle really a puzzle or not a puzzle? 2.4. Conclusions and summary -- 3. Algebra of stochastic discount factors. 3.1. Symmetric theorem of asset pricing. 3.2. Compounding asset pricing models. 3.3. Compression of asset pricing models. 3.4. Decomposition of errors in asset pricing models. 3.5. Empirical analysis of the asset pricing models. 3.6. Conclusions -- 4. Investment and consumption in a multi-period framework. 4.1. Review of Merton's asset pricing model. 4.2. Optimal decisions of investment and consumption. 4.3. Optimal investment behavior. 4.4. Conclusions | ||
| 500 | |a 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 | ||
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Datensatz im Suchindex
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| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
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| dewey-sort | 3332.632042 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Electronic eBook |
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| indexdate | 2024-07-10T07:13:49Z |
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| isbn | 9789812832504 9812832505 |
| language | English |
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| spelling | Cheng, Bing Verfasser aut Asset pricing a structural theory and its applications Bing Cheng, Howell Tong Singapore World Scientific Pub. Co. c2008 1 Online-Ressource txt rdacontent c rdamedia cr rdacarrier Includes bibliographical references (p. 71-74) and index 1. Introduction to modern asset pricing. 1.1. A brief history of modern asset pricing models. 1.2. The equity premium puzzle -- 2. A structural theory of asset pricing. 2.1. Construction of continuous linear pricing functionals. 2.2. The structural theory of asset pricing -- pt. I. 2.3. Is the equity premium puzzle really a puzzle or not a puzzle? 2.4. Conclusions and summary -- 3. Algebra of stochastic discount factors. 3.1. Symmetric theorem of asset pricing. 3.2. Compounding asset pricing models. 3.3. Compression of asset pricing models. 3.4. Decomposition of errors in asset pricing models. 3.5. Empirical analysis of the asset pricing models. 3.6. Conclusions -- 4. Investment and consumption in a multi-period framework. 4.1. Review of Merton's asset pricing model. 4.2. Optimal decisions of investment and consumption. 4.3. Optimal investment behavior. 4.4. Conclusions 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 BUSINESS & ECONOMICS / Investments & Securities / General bisacsh Wirtschaft Capital assets pricing model Tong, Howell Sonstige oth http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=518594 Aggregator Volltext |
| spellingShingle | Cheng, Bing Asset pricing a structural theory and its applications BUSINESS & ECONOMICS / Investments & Securities / General bisacsh Wirtschaft Capital assets pricing model |
| title | Asset pricing a structural theory and its applications |
| title_auth | Asset pricing a structural theory and its applications |
| title_exact_search | Asset pricing a structural theory and its applications |
| title_full | Asset pricing a structural theory and its applications Bing Cheng, Howell Tong |
| title_fullStr | Asset pricing a structural theory and its applications Bing Cheng, Howell Tong |
| title_full_unstemmed | Asset pricing a structural theory and its applications Bing Cheng, Howell Tong |
| title_short | Asset pricing |
| title_sort | asset pricing a structural theory and its applications |
| title_sub | a structural theory and its applications |
| topic | BUSINESS & ECONOMICS / Investments & Securities / General bisacsh Wirtschaft Capital assets pricing model |
| topic_facet | BUSINESS & ECONOMICS / Investments & Securities / General Wirtschaft Capital assets pricing model |
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