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Asset Pricing:A Structural Theory and Its Applications

Author

Listed:
  • Bing Cheng

    (Chinese Academy of Science, China)

  • Howell Tong

    (London School of Economics, UK)

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.

Individual chapters are listed in the "Chapters" tab

Suggested Citation

  • Bing Cheng & Howell Tong, 2008. "Asset Pricing:A Structural Theory and Its Applications," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 6341, August.
    • Handle: RePEc:wsi:wsbook:6341
    as

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    Book Chapters

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