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

In: 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

The 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

Suggested Citation

  • Bing Cheng & Howell Tong, 2008. "Algebra of Stochastic Discount Factors — The Structural Theory of Asset Pricing (Part II)," World Scientific Book Chapters, in: Asset Pricing A Structural Theory and Its Applications, chapter 3, pages 31-56, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812832504_0003
    as

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